Spatiotemporal Event Forecasting from Incomplete Hyper-local Price Data

Xuchao Zhang, Liang Zhao, Arnold Boediardjo, Naren Ramakrishnan

Abstract

Hyper-local pricing data, e.g., about foods and commodities, exhibit subtle spatiotemporal variations that can be useful as crucial precursors of future events. Three major challenges in modeling such pricing data include: i) temporal dependencies underlying features; ii) spatiotemporal missing values; and iii) constraints underlying economic phenomena. These challenges hinder traditional event forecasting models from being applied effectively. This paper proposes a novel spatiotemporal event forecasting model that concurrently addresses the above challenges. Specifically, given continuous price data, a new soft time-lagged model is designed to select temporally dependent features. To handle missing values, we propose a data tensor completion method based on price domain knowledge. The parameters of the new model are optimized using a novel algorithm based on the Alternative Direction Methods of Multipliers (ADMM). Extensive experimental evaluations on multiple datasets demonstrate the effectiveness of our proposed approach.

Xuchao Zhang, Liang Zhao, Arnold P. Boedihardjo, Chang-Tien Lu, Naren Ramakrishnan:
Spatiotemporal Event Forecasting from Incomplete Hyper-local Price Data. CIKM 2017: 507-516