Publication
Simulating Price Interactions by Mining Multivariate Financial Time Series
| dc.contributor.author | Silva, Bruno | |
| dc.contributor.author | Cavique, Luis | |
| dc.contributor.author | Marques, Nuno | |
| dc.date.accessioned | 2014-10-09T10:45:45Z | |
| dc.date.available | 2014-10-09T10:45:45Z | |
| dc.date.issued | 2014-08-03 | |
| dc.description | Com o apoio RAADRI. | por |
| dc.description.abstract | 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. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.26/6797 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | SOM | por |
| dc.subject | Ubiquitous environments | por |
| dc.subject | Emergent Self-Organizing Maps | por |
| dc.subject | UbiSOM | por |
| dc.title | Simulating Price Interactions by Mining Multivariate Financial Time Series | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | China | por |
| oaire.citation.title | 23rd International Joint Conference on Artificial Intelligence Ubiquiutous Datamining Workshop | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |