Simulating price interactions by mining multivariate financial time series

Silva, Bruno; Cavique, Luís; Marques, Nuno C.

http://hdl.handle.net/10400.2/3919

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Authors

Silva, Bruno

Cavique, Luís

Marques, Nuno C.

Abstract(s)

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.

Description

Conferência realizada em Beijing (China) de 3-9 de Agosto de 2013

Keywords

Self-organizing maps Pattern mining

URI

http://hdl.handle.net/10400.2/3919

Citation

Silva, Bruno; Cavique, Luís; Marques, Nuno C. - Simulating price interactions by mining multivariate financial time series, In IJCAI 13. International Joint Conference on Artificial Intelligence, 23, Beijing, 2013 - "International ... [Em linha] : proceedings". [S.l.] : IJCAI : AAAI Press, 2013. 5 p.