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Forecasting renminbi quotes in the revised Chinese FX market : can we get implications for the onshore/offshore spread-behaviour?
Spreckelsen, Christian von; Kunze, Frederik; Windels, … - In: International journal of economic policy in emerging … 7 (2014) 1, pp. 66-76
Persistent link: https://www.econbiz.de/10010413320
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Pricing vanilla options using artificial neural networks : application to the South African market
Du Plooy, Ryno; Venter, Pierre J. - In: Cogent economics & finance 9 (2021) 1, pp. 1-15
In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model....
Persistent link: https://www.econbiz.de/10013183896
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Nowcasting networks
Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
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Prognose und Handel von Derivaten auf Strom mit Künstlichen Neuronalen Netzen
Hofmann, Horst-Oliver; Mettenheim, Hans-Jörg von; … - 2009
Persistent link: https://www.econbiz.de/10008840903
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Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models
Dunis, Christian; Laws, Jason; Middleton, Peter W.; … - In: The European journal of finance 21 (2015) 4/6, pp. 352-375
Persistent link: https://www.econbiz.de/10010528977
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Weight space analysis and forecast uncertainty
Ossen, Arnfried; Rüger, Stefan M. - In: Journal of forecasting 17 (1998) 5/6, pp. 471-480
Persistent link: https://www.econbiz.de/10001363240
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Implied volatility forecast and option trading strategy
Liu, Dehong; Liang, Yucong; Zhang, Lili; Lung, Peter P.; … - In: International review of economics & finance : IREF 71 (2021), pp. 943-954
Persistent link: https://www.econbiz.de/10012630807
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Market sentiments and artificial intelligence neural network algorithms in Taiwan derivatives markets
Li, Chung-Gee; Yu, Min-Teh; Chen, Chien-Yu; Hsu, Pei-Hsuan - In: Advances in Pacific Basin business, economics and finance 10 (2022), pp. 145-157
Persistent link: https://www.econbiz.de/10013207668
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Predicting wheat futures prices in India
Kumar, Raushan - In: Asia Pacific financial markets 28 (2021) 1, pp. 121-140
Persistent link: https://www.econbiz.de/10012486288
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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485