Publication
Simulating price interactions by mining multivariate financial time series
| dc.contributor.author | Silva, Bruno | |
| dc.contributor.author | Cavique, Luís | |
| dc.contributor.author | Marques, Nuno C. | |
| dc.date.accessioned | 2015-05-05T08:51:07Z | |
| dc.date.available | 2015-05-05T08:51:07Z | |
| dc.date.issued | 2013 | |
| dc.description | Conferência realizada em Beijing (China) de 3-9 de Agosto de 2013 | por |
| dc.description.abstract | 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. | por |
| dc.identifier.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. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.2/3919 | |
| dc.language.iso | por | por |
| dc.peerreviewed | yes | por |
| dc.publisher | International Joint Conference on Artificial Intelligence (IJCAI)/AAAI Press | por |
| dc.subject | Self-organizing maps | por |
| dc.subject | Pattern mining | por |
| dc.title | Simulating price interactions by mining multivariate financial time series | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Beijing, China | por |
| oaire.citation.endPage | 5 | por |
| oaire.citation.startPage | 1 | por |
| oaire.citation.title | 23rd. International Joint Conference on Artificial Intelligence (IJCAI) | por |
| person.familyName | Cavique | |
| person.givenName | Luís | |
| person.identifier.ciencia-id | 911E-84AC-3956 | |
| person.identifier.orcid | 0000-0002-5590-1493 | |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |
| relation.isAuthorOfPublication | 40906a16-46a2-42f1-b26d-7db7012294ee | |
| relation.isAuthorOfPublication.latestForDiscovery | 40906a16-46a2-42f1-b26d-7db7012294ee |