Graphical Models for Financial Time Series and Portfolio Selection.
Ni ZhanYijia SunAman JakharHe LiuPublished in: CoRR (2021)
Keyphrases
- graphical models
- portfolio selection
- financial time series
- stock market
- financial markets
- stock price
- probabilistic model
- belief propagation
- probabilistic inference
- non stationary
- random variables
- financial data
- approximate inference
- bayesian networks
- belief networks
- exchange rate
- stock exchange
- conditional random fields
- multivariate time series
- markov networks
- influence diagrams
- robust optimization
- short term
- long term
- multiple objectives