Table 6 OLS REGRESSION RESULTS OF EURODOLLAR CALL 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 | -2.7E-08 (0.000) |
-7.6E-.08 (0.000) |
0.000 | ||
| D = a + b t + e | -1.4E-07 (0.000) |
3.0E-07 (0.000) |
0.000 | ||
| D = a + b u + e | -2.7E-07 (0.000) |
8.4E-.07 (0.000) |
0.000 | ||
Panel B: Training Data Set CS OPM Results, N = 2000 |
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| D = a + b M + e | 0.088 (33.183) |
0.029 (13.883) |
0.088 | ||
| D = a + b t + e | 0.059 (11.217) |
0.038 (3.980) |
0.008 | ||
| D = a + b u + e | -0.141 (-45.059) |
0.683 (77.258) |
0.749 | ||
Panel C: HOLDOUT1 GANN Results, N = 6887 |
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| D = a + b M + e | 1.5E-.04 (0.517) |
-2.9E-04 (-1.322) |
0.000 | ||
| D = a + b t + e | 1.2E-03 (2.111) |
-1.8E-03 (-1.859) |
0.001 | ||
| D = a + b u + e | 5.0E-05 (0.078) |
7.0E-04 (0.379) |
0.000 | ||
Panel D: HOLDOUT1 CS OPM Results, N = 6887 |
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| D = a + b M + e | 0.084 (61.752) |
0.028 (27.298) |
0.098 | ||
| D = a + b t + e | 0.054 (19.996) |
0.038 (7.723) |
0.009 | ||
| D = a + b u + e | -0.132 (-77.174) |
0.642 (131.264) |
0.714 | ||
| Note: D = CGANN - C (or
neural network call price - market call price) for the panels that relate to GANN and D
= CCS - C for the panels that apply to the CS OPM. M =
degree of moneyness ((100 - K) - F(t)), 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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