Table 4 PAIRED-COMPARISON T-TEST RESULTS OF EURODOLLAR CALL FUTURES OPTION APPROXIMATION METHODS Panel A: Training Data Set |
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CGANN vs. Market Price |
CGANN vs. CCS |
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Sample Group |
N |
t-statistic |
p-value |
t-statistic |
p-value |
Complete Sample |
2000 | 0.000 | 1.000 | -28.669 | 0.000 |
M* > .01 |
790 | -0.270 | 0.787 | -22.606 | 0.000 |
.01 < M < 1 |
517 | -0.629 | 0.530 | -17.570 | 0.000 |
M > 1 |
271 | 0.549 | 0.583 | -15.495 | 0.000 |
M < -.01 |
1202 | 0.147 | 0.883 | -18.833 | 0.000 |
-1 < M < -.01 |
577 | 0.580 | 0.562 | 18.155 | 0.000 |
M < -1 |
619 | -0.523 | 0.601 | -11.105 | 0.000 |
-.01 < M < .01 |
8 | 0.969 | 0.365 | -2.256 | 0.030 |
Panel B: Holdout Data Set, HOLDOUT1 |
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Complete Sample |
6887 | 1.001 | 0.317 | -52.206 | 0.000 |
M* > .01 |
2698 | -0.654 | 0.513 | -41.540 | 0.000 |
.01 < M < 1 |
1782 | -1.457 | 0.145 | -32.524 | 0.000 |
M > 1 |
910 | 1.027 | 0.305 | -28.400 | 0.000 |
M < -.01 |
4159 | 2.126 | 0.034 | -34.191 | 0.000 |
-1 < M < -.01 |
1840 | 1.899 | 0.058 | -32.327 | 0.000 |
M < -1 |
2312 | 0.888 | 0.375 | -20.335 | 0.000 |
-.01 < M < .01 |
30 | 0.609 | 0.547 | -4.104 | 0.000 |
| * M is a measure of the degree of moneyness, CGANN and CCS are the Genetic Adaptive Neural Network and Chen & Scott (1993) approximations, respectively. When comparing CGANN to the market price, the p-value is for a 2-tailed test. When comparing CGANN to CCS, the p-value is for a 1-tailed test. | |||||