In recent years much work has been carried out to design and analyse online investment strategies based on constant rebalanced portfolios. A constant rebalanced portfolio is a sequential investment strategy that maintains fixed through time, trading period by trading period, the wealth...

Prediction of foreign exchange (FX) rates is addressed as a binary classification problem in which a continuous time Bayesian network classifier (CTBNC) is developed and used to solve it. An exact algorithm for inference on CTBNC is introduced. The performance of an instance of these classifiers...