Stock market trend prediction using dynamical Bayesian factor graph

doi:10.1016/j.eswa.2015.01.035

CORC > 北京大学 > 信息科学技术学院

	Stock market trend prediction using dynamical Bayesian factor graph
	Wang, Lili ; Wang, Zitian ; Zhao, Shuai ; Tan, Shaohua
刊名	expert systems with applications
	2015
DOI	10.1016/j.eswa.2015.01.035
英文摘要	A new qualitative method using the concept of dynamical Bayesian factor graph is developed in this paper for the prediction of stock market trend. The essence of this method is to compute the corresponding dynamical Bayesian factor graph for a selected set of macroeconomic factors over a period of time of interest. The computed time series of graphs capture both the mutual influential relationships and the evaluation of these relationships among these factors over a specified period of time. Then any topological structural change in the adjacent graphs at anytime predicts a change in market trend in a short future. Our computational analysis also indicates that if the topological structure of the underlying dynamical Bayesian factor graph is unchanged, the general market trend appears invariant. We demonstrate the effectiveness of this method by applying it in the analysis of market trends in the US stock market and Chinese stock market with good prediction results. ? 2015 Published by Elsevier Ltd.; SCI(E); EI; SSCI; 0; ARTICLE; lili_wang2010@163.com; wzt@cis.pku.edu.cn; zhaoshuai2013@pku.edu.cn; tansh98@hotmail.com; 15-16; 6267-6275; 42
语种	英语
内容类型	期刊论文
源URL	[http://ir.pku.edu.cn/handle/20.500.11897/263497]
专题	信息科学技术学院
推荐引用方式 GB/T 7714	Wang, Lili,Wang, Zitian,Zhao, Shuai,et al. Stock market trend prediction using dynamical Bayesian factor graph[J]. expert systems with applications,2015.
APA	Wang, Lili,Wang, Zitian,Zhao, Shuai,&Tan, Shaohua.(2015).Stock market trend prediction using dynamical Bayesian factor graph.expert systems with applications.
MLA	Wang, Lili,et al."Stock market trend prediction using dynamical Bayesian factor graph".expert systems with applications (2015).