Publicação
Simulating Price Interactions by Mining Multivariate Financial Time Series
| Resumo: | This position paper proposes a framework based on a feature clustering method using Emergent Self-Organizing Maps over streaming data (Ubi-SOM) and Ramex-Forum – a sequence pattern mining model for financial time series modeling based on observed instantaneous and long term relations over market data. The proposed framework aims at producing realistic monte-carlo based simulations of an entire portfolio behavior over distinct market scenarios, obtained from models generated by these two approaches. |
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| Autores principais: | Silva, Bruno |
| Outros Autores: | Cavique, Luis; Marques, Nuno |
| Assunto: | SOM Ubiquitous environments Emergent Self-Organizing Maps UbiSOM |
| Ano: | 2014 |
| País: | Portugal |
| Tipo de documento: | documento de conferência |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Instituto Politécnico de Setúbal |
| Idioma: | inglês |
| Origem: | Instituto Politécnico de Setúbal |
| Resumo: | This position paper proposes a framework based on a feature clustering method using Emergent Self-Organizing Maps over streaming data (Ubi-SOM) and Ramex-Forum – a sequence pattern mining model for financial time series modeling based on observed instantaneous and long term relations over market data. The proposed framework aims at producing realistic monte-carlo based simulations of an entire portfolio behavior over distinct market scenarios, obtained from models generated by these two approaches. |
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