Table 7 RESULTS OF GENETIC ADAPTIVE NEURAL NETWORK (GANN) APPROXIMATION OF EURODOLLAR PUT FUTURES OPTION TRADED ON LIFFE Panel A: Training Data Set |
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CS OPM Approximation |
GANN Approximation |
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Sub-sample Description |
Number of Observations |
Mean Squared Error (MSE) |
Mean Absolute Error (MAE) |
Mean Squared Error (MSE) |
Mean Absolute Error (MAE) |
Complete Sample |
2000 | 0.02012 |
0.07743 | 0.00044 |
0.01598 |
M* > .01 |
1202 | 0.01348 |
0.05568 | 0.00039 |
0.01511 |
.01 < M < 1 |
577 | 0.02641 |
0.09886 | 0.00047 |
0.01648 |
M > 1 |
619 | 0.00155 |
0.01575 | 0.00031 |
0.01377 |
M < -.01 |
790 | 0.02939 |
0.10903 | 0.00051 |
0.01726 |
-1 < M < -.01 |
517 | 0.03381 |
0.11526 | 0.00061 |
0.01872 |
M < -1 |
271 | 0.02116 |
0.09785 | 0.00032 |
0.01442 |
-.01 < M < .01 |
8 | 0.10399 |
0.22549 | 0.00129 |
0.02194 |
Panel B: Holdout Data Set, HOLDOUT1 |
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Complete Sample |
6887 | 0.01759 |
0.07162 | 0.00046 |
0.01632 |
M* > .01 |
4159 | 0.01051 |
0.04892 | 0.00041 |
0.01511 |
.01 < M < 1 |
1840 | 0.02174 |
0.09017 | 0.00056 |
0.01740 |
M > 1 |
2312 | 0.00159 |
0.01608 | 0.00029 |
0.01328 |
M < -.01 |
2698 | 0.02822 |
0.10593 | 0.00054 |
0.01806 |
-1 < M < -.01 |
1782 | 0.03290 |
0.11229 | 0.00062 |
0.01898 |
M < -1 |
910 | 0.01912 |
0.09361 | 0.00039 |
0.01627 |
-.01 < M < .01 |
30 | 0.04373 |
0.13312 | 0.00118 |
0.02606 |
| * M is a measure of the degree of moneyness. 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. Therefore, M is defined as F(t) - (100 - K), and when M > .01 the put option is in-the-money. | |||||