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 → …

Cite this

@inproceedings{74d01371209a404daa5719765c39e574,
title = "Simulating Price Interactions by Mining Multivariate Financial Time Series",
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.",
author = "{Cavalheiro Marques}, {Nuno Miguel}",
note = "URL={http://ceur-ws.org/Vol-1088/paper8.pdf}",
year = "2013",
month = "1",
day = "1",
language = "Unknown",
volume = "1088",
pages = "44--48",
booktitle = "CEUR Workshop Proceedings",

}

Cavalheiro Marques, NM 2013, Simulating Price Interactions by Mining Multivariate Financial Time Series. in CEUR Workshop Proceedings. vol. 1088, pp. 44-48, 3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013), 1/01/13.

Simulating Price Interactions by Mining Multivariate Financial Time Series. / Cavalheiro Marques, Nuno Miguel.

CEUR Workshop Proceedings. Vol. 1088 2013. p. 44-48.

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

TY - GEN

T1 - Simulating Price Interactions by Mining Multivariate Financial Time Series

AU - Cavalheiro Marques, Nuno Miguel

N1 - URL={http://ceur-ws.org/Vol-1088/paper8.pdf}

PY - 2013/1/1

Y1 - 2013/1/1

N2 - 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.

AB - 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.

M3 - Conference contribution

VL - 1088

SP - 44

EP - 48

BT - CEUR Workshop Proceedings

ER -