Gated Bayesian networks for algorithmic trading

DOI10.1016/J.IJAR.2015.11.002MaRDI QIDQ899466zbMATH OpenOpenAlexFDO

Authors Marcus Bendtsen, Jose M. Peña

Publication date 28 December 2015

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2015.11.002

zbMATH Keywords

Bayesian networksprobabilistic graphical modelsalgorithmic tradingdecision support

Mathematics Subject Classification ID

Bayesian inference (62F15) Learning and adaptive systems in artificial intelligence (68T05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Actuarial science and mathematical finance (91G99)

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Cites work

• Adapting Bayes network structures to non-stationary domains
• Bayesian Artificial Intelligence
• Bayesian Networks and Decision Graphs
• Conditional independence and chain event graphs
• Discrete Bayesian network classifiers: a survey
• Every LWF and AMP chain graph originates from a set of causal models
• Online portfolio selection: a survey
• On‐Line Portfolio Selection Using Multiplicative Updates
• Sequential influence diagrams: a unified asymmetry framework
• Technical analysis of stock trends.
• The dynamic chain event graph
• Universal Portfolios

Cited in

(2)

• Algorithmic trading for online portfolio selection under limited market liquidity
• Causal effect identification in acyclic directed mixed graphs and gated models

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