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- Ramex-Forum: a tool for displaying and analysing complex sequential patterns of financial productsPublication . Tiple, Pedro; Cavique, Luís; Marques, Nuno C.Financial data provides a valuable up‐to‐date knowledge of the world economy. However, it is presented in extremely large data volumes, in diverse formats, and is constantly being updated at a high speed. The Ramex‐Forum algorithm is oriented to guide financial experts in finding new and relevant information.We present a sensitivity analysis and newvisualizations using an improved version of the Ramex‐Forum algorithm. The proposed algorithm is applied to two case studies – the petroleum production chain and the European financial institutions risk analysis. Different combinations of parameters and new ways to visualize data are used. Results highlight the importance of Ramex‐Forum for analysing relevant relationships in price variations in financial markets.
- Simulating price interactions by mining multivariate financial time seriesPublication . Silva, Bruno; Cavique, Luís; Marques, Nuno C.This position paper proposes a framework based on a feature clustering method using Emergent Self-Organizing Maps over streaming data (UbiSOM) and Ramex-Forum – a sequence pattern mining model for financial time series modeling based on observed instantaneous and long term relations on 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.
- Ramex-forum: sequential patterns of prices in the petroleum production chainPublication . Tiple, Pedro; Cavique, Luís; Marques, Nuno C.We present a sensibility analysis and new visualizations using an improved version of the Ramex-Forum algorithm applied to the study of the petroleum production chain. Di erent combinations of parameters and new ways to visualize data will be used. Results will highlight the importance of Ramex-Forum and its proper parameterizations for analyzing relevant relations among price variations in petroleum and other similar markets.
- An algorithm to condense social networks and identify brokersPublication . Cavique, Luís; Marques, Nuno C.; Santos, Jorge M. A.In social network analysis the identification of communities and the discovery of brokers is a very important issue. Community detection typically uses partition techniques. In this work the information extracted from social networking goes beyond cohesive groups, enabling the discovery of brokers that interact between communities. The partition is found using a set covering formulation, which allows the identification of actors that link two or more dense groups. Our algorithm returns the needed information to create a good visualization of large networks, using a condensed graph with the identification of the brokers.
- A data reduction approach using hypergraphs to visualize communities and brokers in social networksPublication . Cavique, Luís; Marques, Nuno C.; Gonçalves, AntónioThe comprehension of social network phenomena is closely related to data visualization. However, even with only hundreds of nodes, the visualization of dense networks is usually difficult. The strategy adopted in this work is data reduction using communities. Community detection in social network analysis is a very important issue and in particular detection of community overlapping. In this approach, the information extracted from social networks transcends cohesive groups, enabling the discovery of brokers that interact among communities. In order to find admissible solutions in hard problems, relaxed approaches are used. Quasi-cliques are generated, and partition is found using a partial set covering heuristic. The proposed method allows the identification of communities and actors that link two or more groups. In the visualization process, the user can choose different dimension reduction approaches for the condensed graph. For each condensed structure a hypergraph can be drawn, identifying communities and brokers.
- Sequential pattern mining of price interactionsPublication . Marques, Nuno C.; Cavique, LuísThe computational analysis of large quantities of data is an important asset for the economic study of interactions among social agents. However, most of available frequent pattern discovery techniques result in a huge number of rules and scalability problems that end up requiring unnecessary subjectivity in data interpretation. This work presents Ramex-Forum, a visualization technique that can highlight important relations often hidden in economic data. A case study using recent asset prices on global economic data confi rm the usefulness of the approach for expressing economic influence cues as poly-trees.