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ZÁMEČNÍKOVÁ, E.
Original Title
Design Of Autonomous Algorithmic Models For Time Series Prediction
Type
article in a collection out of WoS and Scopus
Language
English
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.
Keywords
statistical arbitrage, fair value, high frequency data, time series, econometrics, business rule
Authors
RIV year
2014
Released
24. 4. 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/" }