Ntungo, Chrispin; Boyd, Milton - In: Journal of Futures Markets 18 (1998) 8, pp. 965-983
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...