讲座题目：《A dynamic ensemble approach for multi-step price prediction》

主讲嘉宾：郝俊博士后

讲座时间：2023年10月10日（星期二）16:00-17:30

讲座地点：沙河校区 具体地点：沙河二教306

讲座摘要：

Price forecasting is critical for business management decision making and planning. However, accurate price predicting faces daunting challenges due to data drift and performance degradation. To this end, we propose a dynamic ensemble prediction method by introducing a “metabolic mechanism” and building an effective investment decision support platform. We generated ten individual models and provided eight ensemble strategies under static and dynamic scenarios to test and verify the model’s prediction performance. The results reveal that the dynamic model presents excellent performance, obtaining the slightest prediction error and the most negligible fluctuation risk. Moreover, under the same ensemble strategies, the dominance of the dynamic model was verified by the improvement rate. The dynamic model can deliver more successful trading signals, demonstrating its importance in investment decisions. Thus, the proposed model benefits practitioners and plays a significant supporting role in investment decision making.

嘉宾简介：郝俊，管理学博士，中国科学院大学经济与管理学院博士后，获NSFC青年基金、博士后特别资助项目（站中）、博士后面上项目，以及中国科学院特别研究助理资助项目。围绕集成预测、风险决策开展了一系列研究工作，成果发表于IJPE、AOR、IEEE TFS、ESWA、《中国管理科学》、《系统工程理论与实践》等国内外主流学术期刊上。曾获中国科学院“院长优秀奖”，研究生国家奖学金，成思危优秀学生奖，唐立新奖学金以及山东省社科优秀成果三等奖等多项奖励。

主办单位：管理科学与工程学院