Table 10 OLS REGRESSION RESULTS OF EURODOLLAR PUT FUTURES OPTIONS PRICING ERRORS ON SELECTED PARAMETERS Panel A: Training Data Set GANN Results, N = 2000 |
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Equation |
a |
b M |
b t |
b u |
R2 |
| D = a + b M + e | -8.295E-08 (0.000) |
-1.155E-07 (0.000) |
0.000 | ||
| D = a + b t + e | -2.292E-07 (0.000) |
2.156E-07 (0.000) |
0.000 | ||
| D = a + b u + e | -8.312E-07 (-0.001) |
2.207E-06 (0.0001) |
0.000 | ||
Panel B: Training Data Set CS OPM Results, N = 2000 |
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| D = a + b M + e | 8.845E-02 (33.183) |
-2.927E-02 (-13.883) |
0.088 | ||
| D = a + b t + e | 5.915E-02 (11.217) |
3.825E-02 (3.980) |
0.089 | ||
| D = a + b u + e | -0.141 (-45.059) |
0.683 (77.258) |
0.866 | ||
Panel C: HOLDOUT1 GANN Results, N = 6887 |
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| D = a + b M + e | -3.068E-04 (-1.120) |
2.378E-04 (1.129) |
0.000 | ||
| D = a + b t + e | 7.516E-05 (0.145) |
-5.897E-04 (-0.627) |
0.000 | ||
| D = a + b u + e | -4.682E-04 (-0.761) |
8.275E-04 (0.470) |
0.000 | ||
Panel D: HOLDOUT1 CS OPM Results, N = 6887 |
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| D = a + b M + e | 8.352E-02 (61.752) |
-2.840E-02 (-27.298) |
0.098 | ||
| D = a + b t + e | 5.359E-02 (19.996) |
3.756E-02 (7.723) |
0.009 | ||
| D = a + b u + e | -0.132 (-77.174) |
0.642 (131.264) |
0.714 | ||
| Note: D = PGANN - P (or
neural network put price - market put price) for the panels that relate to GANN and D
= PCS - P for the panels that apply to the CS OPM. M =
degree of moneyness (F(t) - (100 - K)), t
= time to maturity, and u = volatility measure. The terms a and b are the regression coefficients and e is the error term. All t-statistics are below their respective coefficients in parentheses. |
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