본문 바로가기
  • Home

인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구

  • Journal of Insurance and Finance
  • 2002, 13(3), pp.155-176
  • Publisher : Korea Insurance Research Institute
  • Research Area : Social Science > Business Management

Kim, Hunsoo 1 Gwang-Yong Gim 2 정대용 3

1순천향대학교
2숭실대학교
3삼성선물(주)

Candidate

ABSTRACT

The objective of this paper is to empirically investigate and compare pricing accuracy of stock index futures models; cost-of-carry model, general equilibriummodel and neural network model. Neural network models could min imize pricingerrors because they do not require unrealistic assumptions, e.g . , underlying assets’stochastic processes. In order to achieve the research objectiv e, we employ threeevaluation statistics; average pricing errors, MAD(Mean Absolut e Deviation) and MSE(Mean Square Error). We find that the general equilibrium model outperformsthe cost-of-carry model and that the neural network model ‘with more lagvariables’performs better than the general equilibrium model. The results imply that not only general equilibrium models but also neural network models could be potential alternatives for more accurate pricing models on stock index futures and that further studies on these models should be warranted.

Citation status

* References for papers published after 2022 are currently being built.