| Titre | Une application des réseaux de neurones artificiels MLP à la prévision du prix d'une option négociable | |
|---|---|---|
| Auteur | Antonio Fiordaliso | |
 |
Revue | Economie et prévision |
| Numéro | no 127, 1997/1 | |
| Page | 47-62 | |
| Résumé anglais |
Applying MLP Artificial Neural Networks to Forecasting the Price of a TVaded Option
by Antonio Fiordaliso
This article looks at forecasting the call price for a three-month Eurodollar (ED3) contract. The aim is to set up a neural forecasting model that can eventually be incorporated into a fuzzy expert system for active trading and hedging of option portfolios. The article details some of the problems and techniques involved in setting up ANN (Artificial Neural Network) models for a forecast based on one and then several explanatory variables. The neural architecture considered is that of the multi-layer perceptron (MLP). The neural forecasts are compared with those obtained using other forecasting techniques. Source : Éditeur (via Persée) |
|
| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1997_num_127_1_5836 |
