Autor(es):
Silva, Bruno 
; Cavique, Luis ; Marques, Nuno
Data: 2014
Origem: Repositório Comum
Assunto(s): SOM; Ubiquitous environments; Emergent Self-Organizing Maps; UbiSOM
Detalhes do Documento
Simulating Price Interactions by Mining Multivariate Financial Time Series
Descrição
Com o apoio RAADRI. 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.
Com o apoio RAADRI. 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.
Tipo de Documento
Documento de conferência
Idioma Inglês
Idioma Inglês
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