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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)

Abstract

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.

Keywords

Bayesian network Index analysis Market signals detection 

Notes

Acknowledgements

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.

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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

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