Publication result detail

Design Of Autonomous Algorithmic Models For Time Series Prediction

ZÁMEČNÍKOVÁ, E.

Original Title

Design Of Autonomous Algorithmic Models For Time Series Prediction

English Title

Design Of Autonomous Algorithmic Models For Time Series Prediction

Type

Paper in proceedings outside WoS and Scopus

Original Abstract

This paper is focused on basic concepts used for processing of high frequency data. The idea of designing of systems for predicting of these time series and its parallel to business proces rules modeling will be mentioned. Designed system will use principles of statististical arbitrage, time series correlation, the use of multivariate variables and characteristics of the distribution of interim data. Newly designed system must meet the condition of econometrics for high frequency data.

English abstract

This paper is focused on basic concepts used for processing of high frequency data. The idea of designing of systems for predicting of these time series and its parallel to business proces rules modeling will be mentioned. Designed system will use principles of statististical arbitrage, time series correlation, the use of multivariate variables and characteristics of the distribution of interim data. Newly designed system must meet the condition of econometrics for high frequency data.

Keywords

statistical arbitrage, fair value, high frequency data, time series, econometrics, business rule

Key words in English

statistical arbitrage, fair value, high frequency data, time series, econometrics, business rule

Authors

ZÁMEČNÍKOVÁ, E.

RIV year

2015

Released

24.04.2014

Publisher

Brno University of Technology

Location

Brno

ISBN

978-80-214-4924-4

Book

STUDENT EEICT 2014

Edition

Volume 3

Pages from

279

Pages to

283

Pages count

5

URL

https://www.fit.vut.cz/research/publication/10584/

BibTex

@inproceedings{BUT111561,
  author="Eva {Zámečníková}",
  title="Design Of Autonomous Algorithmic Models For Time Series Prediction",
  booktitle="STUDENT EEICT 2014",
  year="2014",
  series="Volume 3",
  pages="279--283",
  publisher="Brno University of Technology",
  address="Brno",
  isbn="978-80-214-4924-4",
  url="https://www.fit.vut.cz/research/publication/10584/"
}

Documents

eeict_2014_zamecnikova