Abstract:
This paper examines the application of data fusion and probabilistic reasoning for investment decision and its performance evaluation. Specifically, Bayesian networks are...Show MoreMetadata
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.
Date of Conference: 06-09 July 2015
Date Added to IEEE Xplore: 17 September 2015
ISBN Information:
Conference Location: Washington, DC, USA