Publication Details

Design Of Autonomous Algorithmic Models For Time Series Prediction

ZÁMEČNÍKOVÁ Eva. Design Of Autonomous Algorithmic Models For Time Series Prediction. In: STUDENT EEICT 2014. Volume 3. Brno: Brno University of Technology, 2014, pp. 279-283. ISBN 978-80-214-4924-4.
Czech title
Návrh autonomních algoritmických modelů pro predikci časových řad
Type
conference paper
Language
english
Authors
Zámečníková Eva, Ing. (DIFS FIT BUT)
Keywords
statistical arbitrage, fair value, high frequency data, time series, econometrics, business rule
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.
Annotation

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.

Published
2014
Pages
279-283
Proceedings
STUDENT EEICT 2014
Series
Volume 3
Conference
Student EEICT 2014, Brno, CZ
ISBN
978-80-214-4924-4
Publisher
Brno University of Technology
Place
Brno, CZ
BibTeX 
@INPROCEEDINGS{FITPUB10584,
   author = "Eva Z\'{a}me\v{c}n\'{i}kov\'{a}",
   title = "Design Of Autonomous Algorithmic Models For Time Series Prediction",
   pages = "279--283",
   booktitle = "STUDENT EEICT 2014",
   series = "Volume 3",
   year = 2014,
   location = "Brno, CZ",
   publisher = "Brno University of Technology",
   ISBN = "978-80-214-4924-4",
   language = "english",
   url = "https://www.fit.vut.cz/research/publication/10584"
}
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