Forecasting Options
Authors: Hosein Marzi, Elham Marzi
Abstract
This paper reviews current methods of forecasting market trends in option prices and present a Neural Network based method to accurately predict future options. The study brings twenty years of data from S&P 500 index call options and employs non-parametric and parametric solutions and compares the outcomes of each forecasting approach. Initially a formulaic model was employed using Black-Sholes, and Artificial Neural Networks was applied for future options forecasting. The outcome of Simple Neural Networks method proved better than the Black-Scholes approach. An integration of the two approaches was developed which demonstrated better outcomes than each method did independently. The integrated model surpassed the other models and was able to better forecast the market trends.
| Attachment | Size |
|---|---|
| Forecasting Options.wmv | 6.91 MB |
Dear Conference Participants,
Welcome to Production E-manufacturing, E-business and Virtual Enterprises Session of IPROMS 2008. First let me introduce myself - my name is Alex Noyvirt and I am your co-chair for this session. I will like to welcome all visitors to this session and encourage them to actively participate, e.g. ask questions and make comments. To post a comment you need to register on the website which of course is free of charge.
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