Table 5 WILCOXON SIGNED-RANKS TEST RESULTS OF EURODOLLAR CALL FUTURES OPTION APPROXIMATION METHODS Panel A: Training Data Set |
|||||
CGANN vs. Market Price |
CGANN vs. CCS |
||||
Sample Group |
N |
Z-value |
p-value |
Z-value |
p-value |
Complete Sample |
2000 | -0.591 | 0.555 | -33.682 | 0.000 |
M* > .01 |
790 | -0.151 | 0.880 | -22.476 | 0.000 |
.01 < M < 1 |
517 | -1.194 | 0.232 | -18.494 | 0.000 |
M > 1 |
271 | -1.467 | 0.142 | -12.573 | 0.000 |
M < -.01 |
1202 | -1.147 | 0.251 | -24.828 | 0.000 |
-1 < M < -.01 |
577 | -0.773 | 0.440 | -19.790 | 0.000 |
M < -1 |
619 | -0.947 | 0.343 | -13.138 | 0.000 |
-.01 < M < .01 |
8 | -0.280 | 0.779 | -2.100 | 0.018 |
Panel B: Holdout Data Set, HOLDOUT1 |
|||||
Complete Sample |
6887 | -3.305 | 0.001 | -61.054 | 0.000 |
M* > .01 |
2698 | -0.611 | 0.541 | -41.830 | 0.000 |
.01 < M < 1 |
1782 | -1.126 | 0.260 | -34.768 | 0.000 |
M > 1 |
910 | -2.517 | 0.012 | -22.889 | 0.000 |
M < -.01 |
4159 | -4.137 | 0.000 | -43.272 | 0.000 |
-1 < M < -.01 |
1840 | -2.157 | 0.031 | -34.445 | 0.000 |
M < -1 |
2312 | -3.666 | 0.000 | -23.084 | 0.000 |
-.01 < M < .01 |
30 | -0.051 | 0.959 | -4.247 | 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. | |||||