Graphical models for financial time series and portfolio selection.
Ni ZhanYijia SunAman JakharHe LiuPublished in: ICAIF (2020)
Keyphrases
- graphical models
- portfolio selection
- financial time series
- stock market
- financial markets
- stock price
- belief propagation
- probabilistic model
- non stationary
- probabilistic inference
- exchange rate
- random variables
- stock exchange
- bayesian networks
- financial data
- conditional random fields
- multivariate time series
- approximate inference
- robust optimization
- markov networks
- belief networks
- influence diagrams
- multiple objectives
- short term
- probability distribution
- data mining