Simulating Price Interactions by Mining Multivariate Financial Time Series

Nuno Miguel Cavalheiro Marques

Simulating Price Interactions by Mining Multivariate Financial Time Series

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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 language	Unknown
Title of host publication	CEUR Workshop Proceedings
Pages	44-48
Volume	1088
Publication status	Published - 1 Jan 2013
Event	3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013) - Duration: 1 Jan 2013 → …

Conference

Conference	3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013)
Period	1/01/13 → …

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}; 3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013) ; Conference date: 01-01-2013",

year = "2013",

month = jan,

day = "1",

language = "Unknown",

volume = "1088",

pages = "44--48",

booktitle = "CEUR Workshop Proceedings",

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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

T2 - 3rd Workshop on Ubiquitous Data Mining in conjunction with the 23rd International Joint Conference on Artificial Intelligence (UDM-IJCAI 2013)

Y2 - 1 January 2013

ER -