Table 9 WILCOXON SIGNED-RANKS 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 |
Z-value |
p-value |
Z-value |
p-value |
Complete Sample |
2000 | -0.585 | 0.559 | -33.657 | 0.000 |
M* > .01 |
1202 | -1.831 | 0.067 | -24.803 | 0.000 |
.01 < M < 1 |
577 | -4.137 | 0.000 | -20.173 | 0.000 |
M > 1 |
619 | -1.538 | 0.124 | -12.088 | 0.000 |
M < -.01 |
790 | -1.046 | 0.296 | -22.550 | 0.000 |
-1 < M < -.01 |
517 | -1.286 | 0.198 | -18.396 | 0.000 |
M < -1 |
271 | -0.051 | 0.959 | -12.804 | 0.000 |
-.01 < M < .01 |
8 | -1.540 | 0.123 | -1.960 | 0.025 |
Panel B: Holdout Data Set, HOLDOUT1 |
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Complete Sample |
6887 | -1.337 | 0.181 | -62.100 | 0.000 |
M* > .01 |
4159 | -3.931 | 0.000 | -44.783 | 0.000 |
.01 < M < 1 |
1840 | -7.946 | 0.000 | -35.372 | 0.000 |
M > 1 |
2312 | -2.240 | 0.025 | -23.976 | 0.000 |
M < -.01 |
2698 | -1.860 | 0.063 | -42.199 | 0.000 |
-1 < M < -.01 |
1782 | -1.919 | 0.055 | -34.696 | 0.000 |
M < -1 |
910 | -0.509 | 0.611 | -23.626 | 0.000 |
-.01 < M < .01 |
30 | -0.031 | 0.975 | -4.309 | 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. | |||||