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https://www.um.edu.mt/library/oar/handle/123456789/124286
Title: | Long- and medium-term financial strategies on equities using dynamic Bayesian networks |
Authors: | Lewis, Karl Caruana, Mark Anthony Suda, David |
Keywords: | Stock price forecasting Bayesian statistical decision theory Stocks -- Prices -- Mathematical models Investments -- Mathematical models Program trading (Securities) |
Issue Date: | 2024 |
Publisher: | MDPI AG |
Citation: | Lewis, K., Caruana, M. A., & Suda, D. P. (2024). Long- and medium-term financial strategies on equities using dynamic Bayesian networks. AppliedMath, 4(3), 843-855. |
Abstract: | Devising a financial trading strategy that allows for long-term gains is a very common problem in finance. This paper aims to formulate a mathematically rigorous framework for the problem and compare and contrast the results obtained. The main approach considered is based on Dynamic Bayesian Networks (DBNs). Within the DBN setting, a long-term as well as a shortterm trading strategy are considered and applied on twelve equities obtained from developed and developing markets. It is concluded that both the long-term and the medium-term strategies proposed in this paper outperform the benchmark buy-and-hold (B&H) trading strategy. Despite the clear advantages of the former trading strategies, the limitations of this model are discussed along with possible improvements. |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/124286 |
Appears in Collections: | Scholarly Works - FacSciSOR |
Files in This Item:
File | Description | Size | Format | |
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Long and medium term financial strategies on equities using dynamic Bayesian networks 2024.pdf | 689.64 kB | Adobe PDF | View/Open |
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