Simulating Price Interactions by Mining Multivariate Financial Time Series

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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.
Original languageUnknown
Title of host publicationCEUR Workshop Proceedings
Pages44-48
Volume1088
Publication statusPublished - 1 Jan 2013
Event3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013) -
Duration: 1 Jan 2013 → …

Conference

Conference3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013)
Period1/01/13 → …

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