PRIMER ON USING NEURAL NETWORKS FOR FORECASTING MARKET VARIABLES

摘要: Ability to forecast market variables is critical analysts, economists and investors. Among other uses, neural networks are gaining in popularity forecasting variables. They used various disciplines issues map complex relationships. We present a primer for using general, particular, volatility of the S&P 500 Index futures prices. compare forecasts from with implied options Barone-Adesi Whaley (BAW) model pricing American on futures. Forecasts outperform forecasts. Volatility not found be significantly different realized volatility. Implied two three cases.