Simulating price interactions by mining multivariate financial time series

This position paper proposes a framework based on a feature clustering method using Emergent Self-Organizing Maps over streaming data (UbiSOM) 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.