METHOD AND DEVICE FOR VALUATION OF A TRADED COMMODITY

摘要

A method and device for valuation of a traded commodity An embodiment of the invention relates to a method for valuation of a traded commodity by a data processor, wherein a relative or absolute future value of the traded commodity is computed by a determination of an expectation by the data processor, the method comprising the steps of: receiving an historical time series indicating the commodity's value over time in the data processor; transferring the historical time series of the commodity's value into attribute values of at least one attribute representative for internal features of the historical time series; and constructing a function predicting the future value of the commodity based on a sparse grid regression method which takes said attribute values into account.