Soybean Price Pattern Discovery Via Toeplitz Inverse Covariance-Based Clustering

Hua Ling Deng and Yǔ Qiàn Sūn
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Hua Ling Deng: Northeast Agricultural University, Harbin, China
Yǔ Qiàn Sūn: Northeast Agricultural University, Harbin, China

International Journal of Agricultural and Environmental Information Systems (IJAEIS), 2019, vol. 10, issue 4, 1-17

Abstract: The high volatility of world soybean prices has caused uncertainty and vulnerability particularly in the developing countries. The clustering of time series is a serviceable tool for discovering soybean price patterns in temporal data. However, traditional clustering method cannot represent the continuity of price data very well, nor keep a watchful eye on the correlation between factors. In this work, the authors use the Toeplitz Inverse Covariance-Based Clustering of Multivariate Time Series Data (TICC) to soybean price pattern discovery. This is a new method for multivariate time series clustering, which can simultaneously segment and cluster the time series data. Each pattern in the TICC method is defined by a Markov random field (MRF), characterizing the interdependencies between different factors of that pattern. Based on this representation, the characteristics of each pattern and the importance of each factor can be portrayed. The work provides a new way of thinking about market price prediction for agricultural products.

Date: 2019
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