A continuous time Bayesian network classifier for intraday FX prediction

DOI10.1080/14697688.2014.906811zbMath1402.91818OpenAlexW1992140242WikidataQ62048146 ScholiaQ62048146MaRDI QIDQ5247924

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Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.906811

zbMATH Keywords

continuous time Bayesian networkscontinuous time classifiersFX prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Learning continuous time Bayesian network classifiers

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
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• Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
• Foreign-exchange-rate forecasting with artificial neural networks
• Bayesian Networks and Decision Graphs
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Evidence of Markov properties of high frequency exchange rate data

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