A Hybrid Derivative Trading System Based on Volatility and Return Forecasting

REFERENCES

• Amornwattana , S. and Enke , D. 2004 . A comparison of methods for derivative trading using stock return forecasts . Artificial Neural Networks in Engineering , 14 : 741 – 746 .
   Google Scholar
• Amornwattana , S. and Enke , D. 2006 . Modeling and analysis of derivative trading using stock return forecasting . Artificial Neural Networks in Engineering , 16 : 779 – 784 .
   Google Scholar
• Black , F. and Scholes , M. 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 : 637 – 654 .
   Web of Science ®Google Scholar
• Bollerslev , T. 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 327 .
   Web of Science ®Google Scholar
• Catfolis , T. 1996 . Neural networks models for the prediction of stock return volatility . IEEE International Conference on Neural Network , 4 : 2118 – 2123 .
   Google Scholar
• Ding , Z. , Granger , C. W. J. and Engle , R. R. 1993 . A long memory property of stock market returns and a new model . Journal of Empirical Finance , 1 : 83 – 106 .
   Google Scholar
• Donaldson , R. G. and Kamstra , M. 1996 . Forecast combining with neural networks . Journal of Forecasting , 15 : 49 – 61 .
   Web of Science ®Google Scholar
• Dunis , C. and Huang , X. 2002 . Forecasting and trading currency volatility: an application of recurrent neural regression and model combination . Journal of Forecasting , 21 : 317 – 354 .
   Web of Science ®Google Scholar
• Engle , R. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Fama , E. 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
   Web of Science ®Google Scholar
• Han , J. and Kamber , M. 2001 . Data Mining: Concepts and Techniques, , 1st ed. , San Francisco : Morgan Kaufmann .
   Google Scholar
• Hull , J. C. 2003 . Options, Futures, and Other Derivatives, , 5th ed , Upper Saddle River, NJ : Prentice Hall .
   Google Scholar
• Jolliffe , I. T. 1986 . Principal Component Analysis, , 1st ed , New York : Springer-Verlag .
   Google Scholar
• Leung , T. M. , Daouk , H. and Chen , A. S. 2000 . Forecasting stock indices: a comparison of classification and level estimation models . International Journal of Forecasting , 16 : 173 – 190 .
   Web of Science ®Google Scholar
• Li , H. , Dagli , C. H. and Enke , D. 2004 . Forecasting series-based stock price data using direct reinforcement learning . Proceeding of the IEEE International Joint Conference on Neural Networks , 2 : 1103 – 1108 .
   Google Scholar
• Malliaris , M. and Salchenberger , L. 1994 . Do-ahead replaces run-time: a neural network forecasts options volatility . Artificial Intelligence for Applications , 10 : 480 – 481 .
   Google Scholar
• Mandelbrot , B. 1963 . The variation of certain speculative prices . Journal of Business , 36 : 394 – 419 .
   Web of Science ®Google Scholar
• McMillan , L. G. 2001 . Options as a Strategic Investment, , 4th ed , New York : Institute of Finance .
   Google Scholar
• Parzen , E. 1962 . On estimation of a probability density function and mode . Annals of Mathematical Statistics , 33 : 1065 – 1076 .
   Google Scholar
• Phua , P. K. H. , Zhu , X. and Koh , C. H. 2003 . Forecasting stock index increments using neural networks with trust region methods . Proceedings of the International Joint Conference on Neural Networks , 1 : 260 – 265 .
   Google Scholar
• Specht , D. F. 1991 . A general regression neural network . IEEE Transactions on Neural Networks , 2 : 568 – 576 .
   PubMed Web of Science ®Google Scholar
• Steiner , M. and Wittkemper , H. 1997 . Portfolio optimization with a neural network implementation of the coherent market hypothesis . European Journal of Operational Research , 100 : 27 – 40 .
   Web of Science ®Google Scholar
• Thawornwong , S. 2003 . Development and analysis of intelligent computation based stock forecasting and trading systems , Ph.D Dissertation University of Missouri–Rolla .
   Google Scholar
• Van Horne , J. C. 1969 . Warrant valuation in relation to volatility and opportunity costs . Industrial Management Review , 10 : 19 – 23 .
   Google Scholar