Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion

To address the limitations of traditional pricing models regarding accuracy and adaptability in high-frequency trading, this study presents a Transformer-based Efficiently-Fused Optimized Bayesian Network (Trans-EFOBN) for financial asset pricing. The framework integrates a masked transformer with temporal logic constraints to extract sequential features and combines a Dynamic Bayesian Network (DBN) to establish hierarchical structural dependencies between macro factors and micro market variables. This design does not aim to establish strict econometric causality but instead leverages an end-to-end learning mechanism to simultaneously optimize feature representation and network parameters. Empirical analyses utilizing minute-level high-frequency data of the CSI 300 constituent stocks from 2019 to 2024 in the Wind database demonstrate substantial performance gains: the mean absolute error (MAE) decreases to 0.037 (approximately 25% lower than the baseline static Bayesian model), while R² attains 0.86. In simulated trading scenarios incorporating transaction costs and slippage, the proposed model yields an annualized return of 14.2% and a Sharpe ratio of 0.95. The results indicate that integrating structural dependency logic with dynamic probabilistic inference significantly enhances asset pricing efficiency and interpretability, providing robust technical support for high-frequency quantitative trading.

Authors

Institutions

Publication Details

Journal
PLoS ONE
Published
2026-05-08
DOI
https://doi.org/10.1371/journal.pone.0347047
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
0.00

Funders

Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion

Qi Fu, Xiaotong Li
PLoS ONE
Stock Market Forecasting Methods
article

Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion

Qi Fu, Xiaotong Li
article en

Abstract

To address the limitations of traditional pricing models regarding accuracy and adaptability in high-frequency trading, this study presents a Transformer-based Efficiently-Fused Optimized Bayesian Network (Trans-EFOBN) for financial asset pricing. The framework integrates a masked transformer with temporal logic constraints to extract sequential features and combines a Dynamic Bayesian Network (DBN) to establish hierarchical structural dependencies between macro factors and micro market variables. This design does not aim to establish strict econometric causality but instead leverages an end-to-end learning mechanism to simultaneously optimize feature representation and network parameters. Empirical analyses utilizing minute-level high-frequency data of the CSI 300 constituent stocks from 2019 to 2024 in the Wind database demonstrate substantial performance gains: the mean absolute error (MAE) decreases to 0.037 (approximately 25% lower than the baseline static Bayesian model), while R² attains 0.86. In simulated trading scenarios incorporating transaction costs and slippage, the proposed model yields an annualized return of 14.2% and a Sharpe ratio of 0.95. The results indicate that integrating structural dependency logic with dynamic probabilistic inference significantly enhances asset pricing efficiency and interpretability, providing robust technical support for high-frequency quantitative trading.

PLoS ONEVol. 21(5)
Shanghai Lixin University of Accounting and Finance (CN), Shanghai Business School (CN)
National Social Science Fund of China
Openalex Percentile: Top 4%
Stock Market Forecasting Methods
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.