Commodity futures trading performance using neural network models versus ARIMA models

✍ Scribed by Ntungo, Chrispin; Boyd, Milton

• Publisher: John Wiley and Sons
• Year: 1998
• Tongue: English
• Weight: 300 KB
• Volume: 18
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/(sici)1096-9934(199812)18:8<965::aid-fut5>3.0.co;2-a

✦ Synopsis

Neural networks trading returns are compared out-of-sample with traditional ARIMA returns for corn, silver, and deutsche mark. Results show that neural network and ARIMA models had positive returns, and at about the same levels. However, deutsche mark was less profitable and returns were not statistically different from zero, in contrast to corn and silver.