Publication Details

Time Series Prediction Based on Event Driven Business Process Management

ZÁMEČNÍKOVÁ, E.; KRESLÍKOVÁ, J. Time Series Prediction Based on Event Driven Business Process Management. International Journal of Computational Engineering Research (IJCER), 2014, vol. 4, no. 4, p. 1-6. ISSN: 2250-3005.
Czech title
Predikce časových řad s využitím BPM
Type
journal article
Language
English
Authors
Zámečníková Eva, Ing., Ph.D.
Kreslíková Jitka, doc. RNDr., CSc. (DIFS)
Keywords

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

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.

Published
2014
Pages
1–6
Journal
International Journal of Computational Engineering Research (IJCER), vol. 4, no. 4, ISSN 2250-3005
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/"
}
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