Simulating Price Interactions by Mining Multivariate Financial Time Series

Detalhes bibliográficos
Autor(a) principal: Silva, Bruno
Data de Publicação: 2014
Outros Autores: Cavique, Luis, Marques, Nuno
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10400.26/6797
Resumo: 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.
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spelling Simulating Price Interactions by Mining Multivariate Financial Time SeriesSOMUbiquitous environmentsEmergent Self-Organizing MapsUbiSOMThis 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.Repositório ComumSilva, BrunoCavique, LuisMarques, Nuno2014-10-09T10:45:45Z2014-08-032014-08-03T00:00:00Zconference objectinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10400.26/6797enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-05-02T16:26:34Zoai:comum.rcaap.pt:10400.26/6797Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T06:52:11.041018Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Simulating Price Interactions by Mining Multivariate Financial Time Series
title Simulating Price Interactions by Mining Multivariate Financial Time Series
spellingShingle Simulating Price Interactions by Mining Multivariate Financial Time Series
Silva, Bruno
SOM
Ubiquitous environments
Emergent Self-Organizing Maps
UbiSOM
title_short Simulating Price Interactions by Mining Multivariate Financial Time Series
title_full Simulating Price Interactions by Mining Multivariate Financial Time Series
title_fullStr Simulating Price Interactions by Mining Multivariate Financial Time Series
title_full_unstemmed Simulating Price Interactions by Mining Multivariate Financial Time Series
title_sort Simulating Price Interactions by Mining Multivariate Financial Time Series
author Silva, Bruno
author_facet Silva, Bruno
Cavique, Luis
Marques, Nuno
author_role author
author2 Cavique, Luis
Marques, Nuno
author2_role author
author
dc.contributor.none.fl_str_mv Repositório Comum
dc.contributor.author.fl_str_mv Silva, Bruno
Cavique, Luis
Marques, Nuno
dc.subject.por.fl_str_mv SOM
Ubiquitous environments
Emergent Self-Organizing Maps
UbiSOM
topic SOM
Ubiquitous environments
Emergent Self-Organizing Maps
UbiSOM
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-10-09T10:45:45Z
2014-08-03
2014-08-03T00:00:00Z
dc.type.driver.fl_str_mv conference object
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.26/6797
url http://hdl.handle.net/10400.26/6797
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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