Table 12 PAIRED-COMPARISON AND WILCOXON TEST RESULTS OF EURODOLLAR FUTURES OPTION GANN APPROXIMATION METHODS (GANN2 vs. GANN1) Panel A: Calls |
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Paired t-test |
Wilcoxon |
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Sample Group |
N |
t-statistic |
p-value |
Z-value |
p-value |
Complete Sample |
6887 | -2.312 | 0.011 | -1.972 | 0.025 |
in-the-money |
2698 | -0.397 | 0.346 | -0.345 | 0.365 |
just-in |
1782 | 1.309 | 0.096 | -1.657 | 0.049 |
deep-in |
910 | -2.005 | 0.023 | -2.314 | 0.011 |
out-of-the-money |
4159 | -3.113 | 0.001 | -2.088 | 0.019 |
just-out |
1840 | -2.391 | 0.008 | -0.182 | 0.428 |
deep-out |
2312 | -1.955 | 0.026 | -2.627 | 0.005 |
at-the-money |
30 | -0.235 | 0.408 | -0.381 | 0.352 |
Panel B: Puts |
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Complete Sample |
6887 | -0.503 | 0.308 | -2.534 | 0.006 |
in-the-money |
4159 | -1.772 | 0.038 | -5.138 | 0.000 |
just-in |
1840 | -7.943 | 0.000 | -9.812 | 0.000 |
deep-in |
2312 | 5.107 | 0.000 | -1.839 | 0.033 |
out-of-the-money |
2698 | 1.412 | 0.079 | -2.519 | 0.006 |
just-out |
1782 | 1.018 | 0.155 | -2.059 | 0.020 |
deep-out |
910 | 0.976 | 0.165 | -1.372 | 0.170 |
at-the-money |
30 | 0.181 | 0.429 | -0.010 | 0.496 |
| The degree of moneyness is as previously described. For example, if the futures rate (F(t)) is greater than the strike rate (100 - K), a put option on a 3-month Eurodollar futures contract will be in-the-money and a call option will be out-of-the-money. GANN1 has 4 inputs and 18 hidden layer nodes while GANN2 has 6 input and 18 hidden layer nodes. All p-values represent 1-tailed test. | |||||