Simulating Price Interactions by Mining Multivariate Financial Time Series

Silva, Bruno; Cavique, Luis; Marques, Nuno

http://hdl.handle.net/10400.26/6797

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Authors

Silva, Bruno

Cavique, Luis

Marques, Nuno

Abstract(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.

Description

Com o apoio RAADRI.

Keywords

SOM Ubiquitous environments Emergent Self-Organizing Maps UbiSOM

URI

http://hdl.handle.net/10400.26/6797

Collections

IPS - ESTS – DSI - Comunicações em congressos

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