Healy, J.V.; Dixon, M.; Read, B.J.; Cai, F.F. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 162-167
Non-parametric methods such as artificial neural nets can successfully model prices of financial options, out-performing the Black–Scholes analytic model (Eur. Phys. J. B 27 (2002) 219). However, the accuracy of such approaches is usually expressed only by a global fitting/error measure. This...