Commodity futures trading performance using neural network models versus ARIMA models

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. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18: 965–983, 1998

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Year of publication:	1998
Authors:	Ntungo, Chrispin ; Boyd, Milton
Published in:	Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 18.1998, 8, p. 965-983
Publisher:	John Wiley & Sons, Ltd.

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011196871