Machine Learning in Fine Wine Price Prediction

• Autores: Michelle Yeo, Tristan Fletcher, John Shawe-Taylor
• Localización: Journal of Wine Economics, ISSN-e 1931-437X, Vol. 10, Nº. 2, 2015, págs. 151-172
• Idioma: inglés
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• Resumen

  • Advanced machine learning techniques like Gaussian process regression and multi-task learn- ing are novel in the area of wine price prediction; previous research in this area being restricted to parametric linear regression models when predicting wine prices. Using historical price data of the 100 wines in the Liv-Ex 100 index, the main contributions of this paper to the field are, firstly, a clustering of the wines into two distinct clusters based on autocorrelation. Secondly, an implementation of Gaussian process regression on these wines with predictive accuracy sur- passing both the trivial and simple ARMA and GARCH time series prediction benchmarks. Lastly, an implementation of an algorithm which performs multi-task feature learning with kernels on the wine returns as an extension to our optimal Gaussian process regression model. Using the optimal covariance kernel from Gaussian process regression, we achieve pre- dictive results which are comparable to that of Gaussian process regression. Altogether, our research suggests that there is potential in using advanced machine learning techniques in wine price prediction