Table 8 PAIRED-COMPARISON T-TEST RESULTS OF EURODOLLAR PUT FUTURES OPTION APPROXIMATION METHODS Panel A: Training Data Set |
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PGANN vs. Market Price |
PGANN vs. PCS |
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Sample Group |
N |
t-statistic |
p-value |
t-statistic |
p-value |
Complete Sample |
2000 | 0.000 | 1.000 | 28.854 | 0.000 |
M* > .01 |
1202 | -0.948 | 0.343 | 18.801 | 0.000 |
.01 < M < 1 |
577 | -3.473 | 0.001 | 18.795 | 0.000 |
M > 1 |
619 | 2.530 | 0.012 | 9.677 | 0.000 |
M < -.01 |
790 | 0.828 | 0.408 | 22.880 | 0.000 |
-1 < M < -.01 |
517 | 1.122 | 0.262 | 17.828 | 0.000 |
M < -1 |
271 | -0.258 | 0.796 | 15.277 | 0.000 |
-.01 < M < .01 |
8 | 1.215 | 0.264 | 2.307 | 0.027 |
Panel B: Holdout Data Set, HOLDOUT1 |
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Complete Sample |
6887 | -0.796 | 0.426 | 52.931 | 0.000 |
M* > .01 |
4159 | -1.704 | 0.088 | 34.451 | 0.000 |
.01 < M < 1 |
1840 | -5.953 | 0.000 | 33.707 | 0.000 |
M > 1 |
2312 | 4.535 | 0.000 | 18.699 | 0.000 |
M < -.01 |
2698 | 0.579 | 0.563 | 42.215 | 0.000 |
-1 < M < -.01 |
1782 | 0.973 | 0.331 | 32.977 | 0.000 |
M < -1 |
910 | -0.593 | 0.553 | 28.613 | 0.000 |
-.01 < M < .01 |
30 | 0.490 | 0.628 | 4.231 | 0.000 |
| * M is a measure of the degree of moneyness, PGANN and PCS are the Genetic Adaptive Neural Network and Chen & Scott (1993) approximations, respectively. When comparing PGANN to the market price, the p-value is for a 2-tailed test. When comparing PGANN to PCS, the p-value is for a 1-tailed test. | |||||