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In this paper we compare the modeling performance of three different radial basis function (RBF) artificial neural networks (ANN) when applied to the prediction of FX futures options volatility. We focus the analysis on the reported comparative advantages of the prior information Bayesian regularization-based Kajiji-4 RBF algorithmic structure in a study of(More)
The importance of volatility modeling is evidenced by the voluminous literature on temporal dependencies in financial market assets. A substantial body of this literature relies on explorations of daily and lower frequencies using parametric ARCH or stochastic volatility models. In this research we compare the model performance of alternate neural network(More)
This document is not a final research report. It is a preliminary version of the final report. In addition to a review of research theory, the final report will include a software CD, software instructions, and a summary of less efficient findings that are purposely omitted in this short-form report. Report is provided for discussion purposes only.
This working paper series is intended to facilitate discussion and encourage the exchange of ideas. Inclusion here does not preclude publication elsewhere. It is the original work of the author(s) and subject to copyright regulations. course, the authors are solely responsible for any remaining errors. Abstract This paper provides evidence from hedge fund(More)
Over the recent past, stylized facts have not yielded a synthesis regarding the predictability of returns for alternative investment assets such as hedge funds. Recent studies on alternative asset return predictability have added to the ambiguity. These studies suggest that classification prediction methods may dominate more traditional return-level(More)
The purpose of this study is to model the nonparametric realized volatility of the futures contract as traded in domestic U.S. markets for exchange involving the South African rand and the U.S. dollar (ZAR). The study embraces a Bayesian regularization radial basis function (RBF) artificial neural network (ANN) to model the complex volatility patterns. The(More)