How is Bayesian Model Averaging involved in financial engineering?

[Andy Xu]

Year I am unsure where my post belongs, so I post it here.

I see that BMA is covered in some courses of MFE, but is it a common and popular approach? Do the quants actually use it?

Any advice will be appreciated. Thanks a lot.

 

[Andy Xu]

Oh please. Personally, I think "never heard of" is also a pretty good comment.

 

[Andy Nguyen]

It's just one approach/technique among many.
http://www.nber.org/papers/w16725

 

[Andy Xu]

It's just one approach/technique among many.
http://www.nber.org/papers/w16725

Glad to see its application. The idea of combining several models in a statistical way sounds fascinating.