Title: Modeling and forecasting online auction price
Authors: Weiwei Liu - Lanzhou university (China) [presenting]
Abstract: Online auctions have become increasingly popular in recent years. There is a growing body of research on this topic, whereas modeling online auction price curve constitutes one of the most interesting problems. Most of research treats price curves as deterministic functions, which ignores the random effects of external and internal factors. To account for the randomness, a more realistic model using stochastic differential equation is proposed. The online auction price is modeled by a stochastic differential equation in which the deterministic part is equivalent to a previous second-order differential equation model proposed. The model also includes a component representing the measurement errors. Explicit expressions for the likelihood function are also obtained, from which statistical inference can be conducted.