Publication result detail

Time Series Prediction Based on Event Driven Business Process Management

ZÁMEČNÍKOVÁ, E.; KRESLÍKOVÁ, J.

Original Title

Time Series Prediction Based on Event Driven Business Process Management

English Title

Time Series Prediction Based on Event Driven Business Process Management

Type

Peer-reviewed article not indexed in WoS or Scopus

Original Abstract

In this paper I would like to focus on time series prediction for building trading systems based on unification of the seemingly antagonistic concepts of Complex Events Processing (CEP) and discrete, legacy business logic. In the realm of the high frequency market-making trading systems, the incoming stream of data from multiple asset sources and venues shall be processed primarily by a real-time CEP engine till the point when the statistical characteristics of the continuous results cross into the "fat-tail" distribution region, when a set of stringent risk-management business rules kick in.

English abstract

In this paper I would like to focus on time series prediction for building trading systems based on unification of the seemingly antagonistic concepts of Complex Events Processing (CEP) and discrete, legacy business logic. In the realm of the high frequency market-making trading systems, the incoming stream of data from multiple asset sources and venues shall be processed primarily by a real-time CEP engine till the point when the statistical characteristics of the continuous results cross into the "fat-tail" distribution region, when a set of stringent risk-management business rules kick in.

Keywords

Business Rules, Complex Event Processing, Event-Driven Architecture, Financial Markets, High Frequency Data, Prediction, Trading

Key words in English

Business Rules, Complex Event Processing, Event-Driven Architecture, Financial Markets, High Frequency Data, Prediction, Trading

Authors

ZÁMEČNÍKOVÁ, E.; KRESLÍKOVÁ, J.

RIV year

2015

Released

01.05.2014

ISBN

2250-3005

Periodical

International Journal of Computational Engineering Research (IJCER)

Volume

4

Number

4

State

Republic of India

Pages from

1

Pages to

6

Pages count

6

URL

https://www.fit.vut.cz/research/publication/10599/

BibTex

@article{BUT111566,
  author="Eva {Zámečníková} and Jitka {Kreslíková}",
  title="Time Series Prediction Based on Event Driven Business Process Management",
  journal="International Journal of Computational Engineering Research (IJCER)",
  year="2014",
  volume="4",
  number="4",
  pages="1--6",
  issn="2250-3005",
  url="https://www.fit.vut.cz/research/publication/10599/"
}

Documents

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