Bayesian Networks for Financial Market Signals Detection

  • Alessandro GreppiEmail author
  • Maria E. De Giuli
  • Claudia Tarantola
  • Dennis M. Montagna
Conference paper
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)


In order to model and explain the dynamics of the market, different types and sources of information should be taken into account. We propose to use a Bayesian network as a quantitative financial tool for market signals detection. We combine and incorporate in the model, accounting, market, and sentiment data. The network is used to describe the relationships among the examined variables in an immediate way. Furthermore, it permits to identify in a mouse-click time scenario that could lead to operative signals. An application to the analysis of S&P 500 index is presented.


Bayesian network Index analysis Market signals detection 



We are grateful to the referee for valuable comments and suggestions.The first author is grateful to the Doctoral Research in Economics and Management of Technology (DREAMT). The work of the second author was partially supported by MIUR, Italy, PRIN MISURA 2010RHAHPL.


  1. 1.
    Chow, C.K., Liu, C.N.: Approximating Discrete Probability distributions with dependence trees. IEEE Trans. Inf. Theor. 14, 462–467 (1968)Google Scholar
  2. 2.
    Cowell, R.G., Dawid, A.P., Lauritzen, S.L., Spiegelhalter, D.J.: Probabilistic Networks and Expert Systems. Springer, New York (1999)Google Scholar
  3. 3.
    Greppi, A.: Bayesian Networks Models for Equity Market, Ph.D. Thesis, University of Pavia (2016)Google Scholar
  4. 4.
    Jensen, F.V.: Bayesian Networks. UCL press, London (1996)Google Scholar
  5. 5.
    Lakonishok, J., Shleifer, A., Vishny, R.W.: Contrarian Investment, Extrapolation, and Risk. J. Finance 49(5), 1541–1578 (1994)Google Scholar
  6. 6.
    Lauritzen, S.L.: The EM Algorithm for Graphical Association Models with Missing Data. Comp. Stat. & Data Anal. 19, 191–201 (1995)Google Scholar
  7. 7.
    Nielsen, A.E.: Goal - Global Strategy Paper No. 1, Goldman Sachs Global Economics - Commodities and Strategy Research., (2011)
  8. 8.
    Patel, P.N., Yao, S., Carlson, R., Banerji, A., Handelman, J.: Quantitative Research - A Disciplined Approach, Credit Suisse Equity Research (2011)Google Scholar
  9. 9.
    Steck, H.: Constraint-Based Structural Learning in Bayesian Networks Using Finite Data, Ph.D. thesis, Institut für Informatik der Technischen Universität München (2001)Google Scholar

Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  • Alessandro Greppi
    • 1
    Email author
  • Maria E. De Giuli
    • 1
  • Claudia Tarantola
    • 1
  • Dennis M. Montagna
    • 1
  1. 1.Department of Economics and ManagementUniversity of PaviaPaviaItaly

Personalised recommendations