On the robustness of the dominant eigenvalue of dynamic linear econometric models
Computers and Operations Research
Linear stochastic systems
The statistical theory of linear systems
The statistical theory of linear systems
Forecasting notebook computer price as a function of constituent features
Computers and Industrial Engineering
Dynamic pricing by software agents
Computer Networks: The International Journal of Computer and Telecommunications Networking - electronic commerce
Time Series Analysis and Its Applications (Springer Texts in Statistics)
Time Series Analysis and Its Applications (Springer Texts in Statistics)
Forecasting market prices in a supply chain game
Electronic Commerce Research and Applications
New Introduction to Multiple Time Series Analysis
New Introduction to Multiple Time Series Analysis
Proceedings of the 11th International Conference on Electronic Commerce
Detecting and forecasting economic regimes in multi-agent automated exchanges
Decision Support Systems
Forecasting prices in dynamic heterogeneous product markets using multivariate prediction methods
Proceedings of the 13th International Conference on Electronic Commerce
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Accurate forecasting of market price developments is essential in achieving superior market performance. Especially in oligopolistic markets for durable consumer products a robust understanding of selling prices is important, as it drives pricing behavior as well as procurement, inventory and production decisions. Moreover, a supply chain perspective is indispensable for pricing forecasts since companies not only compete for product sales but also for limited resources. This paper explores the use of dynamic multivariate hedonics-based pricing models that explicitly model selling prices with the market valuation of constituting parts. The model is applied to TAC SCM, a supply-chain trading agent competition. To find unknown component prices series we apply the Kalman filter technique to smooth and forecast implicit prices using the EM algorithm. Finally, we present results of our analysis to establish the viability of this method.