Parameter instability and forecasting performance: a Monte Carlo study
DOI: 10.1504/IJBFMI.2008.020811 | Costas Anyfantakis, Guglielmo Maria Caporale, Nikitas Pittis | This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true data generation process (DGP) exhibits parameter instability which is either overlooked or incorrectly modelled. We find... | 1 - 20 |
Maturity effect and storage announcements: the case of natural gas
DOI: 10.1504/IJBFMI.2008.020811 | Philippe Gregoire, Mathieu Boucher | This paper considers the maturity effect in the nearby natural gas futures contract while controlling for the impact of the weekly change in gas inventories as released by the USA Energy Information Administration (EIA). Using data from Jan... | 21 - 29 |
An integrated stock market forecasting model using neural networks
DOI: 10.1504/IJBFMI.2008.020811 | Gary R. Weckman, Sriram Lakshminarayanan, Jon H. Marvel, Andy Snow | This paper focuses on the development of a stock market forecasting model based on artificial neural network architecture. A baseline neural network model was developed using GFF architecture. The performance of the baseline model was evalu... | 30 - 49 |
On the development of improved adaptive models for efficient prediction of stock indices using clonal-PSO (CPSO) and PSO techniques
DOI: 10.1504/IJBFMI.2008.020811 | Ritanjali Majhi, Ganapati Panda, Gadadhar Sahoo, Abhishek Panda | The present paper introduces a new clonal particle swarm optimisation (CPSO) and PSO techniques to develop efficient adaptive forecasting models for short and long-term prediction of S&P 500 and DJIA stock indices. The basic structure o... | 50 - 67 |
A note on forecasting exchange rates using a cluster technique
DOI: 10.1504/IJBFMI.2008.020811 | Marcos Alvarez-Diaz | In this note, we propose a cluster method as a simple predictive tool to forecast exchange rates (specifically the Japanese Yen and the British Pound against the US Dollar). The general goal in this study is two-fold. First of all, we verif... | 68 - 81 |
Stop-loss strategies and derivatives portfolios
DOI: 10.1504/IJBFMI.2008.020811 | Patrick L. Leoni | We carry out a Monte-Carlo simulation of the long-term behaviour of a standard derivatives portfolio to analyse the performance of stop-loss strategies in terms of loss reductions. We observe that the more correlated the underlyings, the ea... | 82 - 93 |
