DocumentCode
737277
Title
Market analysis and trading strategies with Bayesian networks
Author
Chang, K C ; Tian, Zhi
Author_Institution
George Mason University, Dept. of Systems Engineering and Operations Research, Fairfax, VA, U.S.A.
fYear
2015
fDate
6-9 July 2015
Firstpage
1922
Lastpage
1929
Abstract
This paper examines the application of data fusion and probabilistic reasoning for investment decision and its performance evaluation. Specifically, Bayesian networks are used to model the qualitative and quantitative relationships between various factors that affect the dynamics of equity index (S&P 500) for predictive analysis. The resulting assessments are applied to trading decisions utilizing derivatives such as S&P futures and options. The simulated trading performance results demonstrate the effectiveness of the Bayesian network approach.
Keywords
Bayes methods; Data models; Indexes; Investment; Market research; Portfolios; Predictive models; Bayesian networks; S&P futures; financial markets; futures options trading; return and risk analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Fusion (Fusion), 2015 18th International Conference on
Conference_Location
Washington, DC, USA
Type
conf
Filename
7266790
Link To Document