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Simulating Price Interactions by Mining Multivariate Financial Time Series

Bruno Silva, Luís Cavique, Nuno Cavalheiro Marques
IJCAI 2013 pp. 44
/ijcai/2013/silva2013ijcai-simulating/

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. 1

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Text

Silva et al. "Simulating Price Interactions by Mining Multivariate Financial Time Series." International Joint Conference on Artificial Intelligence, 2013.

Markdown

[Silva et al. "Simulating Price Interactions by Mining Multivariate Financial Time Series." International Joint Conference on Artificial Intelligence, 2013.](https://mlanthology.org/ijcai/2013/silva2013ijcai-simulating/)

BibTeX

@inproceedings{silva2013ijcai-simulating,
  title     = {{Simulating Price Interactions by Mining Multivariate Financial Time Series}},
  author    = {Silva, Bruno and Cavique, Luís and Marques, Nuno Cavalheiro},
  booktitle = {International Joint Conference on Artificial Intelligence},
  year      = {2013},
  pages     = {44},
  url       = {https://mlanthology.org/ijcai/2013/silva2013ijcai-simulating/}
}