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Simulating Price Interactions by Mining Multivariate Financial Time Series
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Orientador(es)
Resumo(s)
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.
Descrição
Com o apoio RAADRI.
Palavras-chave
SOM Ubiquitous environments Emergent Self-Organizing Maps UbiSOM