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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 min- ing 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.


URL: http://ceur-ws.org/Vol-1088/paper8.pdf

Journal: CEUR Workshop Proceedings ( Germany )

Volume: 1088

Pages: 44 to 48


Date: November, 2013


Authors:
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