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2004
Springer

Stock Trading by Modelling Price Trend with Dynamic Bayesian Networks

8 years 8 months ago
Stock Trading by Modelling Price Trend with Dynamic Bayesian Networks
We study a stock trading method based on dynamic bayesian networks to model the dynamics of the trend of stock prices. We design a three level hierarchical hidden Markov model (HHMM). There are five states describing the trend in first level. Second and third levels are and concrete hidden Markov models to produce the observed patterns. To train the HHMM, we adapt a semi-supervised learning so that the trend states of first layer is manually labelled. The inferred probability distribution of first level are used as an indicator for the trading signal, which is more natural and reasonable than technical indicators. Experimental results on representative 20 companies of Korean stock market show that the proposed HHMM outperforms a technical indicator in trading performances.
Jangmin O, Jae Won Lee, Sung-Bae Park, Byoung-Tak
Added 02 Jul 2010
Updated 02 Jul 2010
Type Conference
Year 2004
Where IDEAL
Authors Jangmin O, Jae Won Lee, Sung-Bae Park, Byoung-Tak Zhang
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