A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

基于神经网络智能天线的一种波达方向估计方法

该文提出利用径向基函数神经网络来估计无线通信中智能天线的信号到达方向．为了减少输入，利用信号相关阵的对称性质，仅考虑相关阵中的上三角或下三角的部分元素作为网络的输入量，计算量较小．计算机模拟结果表明，该方案是有效的．     

焊接过程的RBF神经网络建模

介绍了RBF神经网络的性能和算法结构 ,建立了RBF神经网络在船舶焊接过程中用于焊接变形预测分析的模型 ,并探讨了其应用和发展趋势     

浅谈大学引领社会发展的途径

阐述了新形势下大学职能的新变化。从为社会培养高素质的人才、进行科研创新以促进社会经济的发展、利用智力优势参与政府政策的制定等方面探讨了大学引领社会发展的各种途径。     

基于GIS的生态功能区划在生态城市建设中的应用——以陕西省凤县为例

在对目前生态功能区划众多方法进行比较的基础上,将GIS技术应用到陕西省宝鸡市凤县生态功能区划中。根据研究区生态环境要素、生态环境敏感性及生态服务功能的差异,把区域划分成四个不同的生态功能区,即北部森林生态重点保护区,中部林、药、养殖、矿产限制开发区,中部粮、椒、果、城镇与贸易重点开发区,南部生物多样性保护与生态旅游区,并综合考虑区域实际情况进行深一步规划研究。     

基于单片机的煤气渗漏监控系统的设计

以8051单片机为核心，结合防爆型煤气浓度监测传感器及AD0832等，实现煤气化生产各环节中煤气渗漏的实时监测、采集、处理.     

Solving the State Equation of a System by Walsh Function

In this paper, We deal with the solution of the state equation of a system by the Walsh function, that is, we shall find the solution of a matrix differential equation by the Walsh function, and introduce a solution of the higher-order matrix differential equation. First, after a certain transform, we turn the higher-order matrix differential equation into a state equation. Then we find the solution of the state equation by the Walsh function. Finally after a certain transform, we obtain a solution of the higher-order matrix differential equation.     

网络时代下对高校思想政治教育的几点思考

网络技术的发展,对学生行为方式、思想品德的形成、心理和人格的健康发展产生深刻的影响。网络的普及对传统模式教育方法提出了新挑战,对思想政治教育工作既有有利的因素也有负面影响。本文探讨了网络时代如何面对思想政治教育工作中的新问题。     

人工神经元网络及其在系统仿真中的应用

本文简要地介绍了人工神经元网络的基本概念、主要特征及其发展历史,评述了几种有代表性的神经元网络模型。在此基础上,探讨了人工神经元网络在系统仿真中可能的应用方向。     

Accurate forecasting of the undecided population in a public opinion poll

The problem of pollsters is addressed which is to forecast accurately the final answers of the undecided respondents to the primary question in a public opinion poll. The task is viewed as a pattern‐recognition problem of correlating the answers of the respondents to the peripheral questions in the survey with their primary answers. The underlying pattern is determined with a supervised artificial neural network that is trained using the peripheral answers of the decided respondents whose primary answers are also known. With peripheral answers as inputs, the trained network outputs the most probable primary response of an undecided respondent. For a poll conducted to determine the approval rating of the (former) Philippine president, J. E. Estrada in December 1999 and March 2000, the trained network predicted with a 95% success rate the direct responses of a test population that consists of 24.57% of the decided population who were excluded in the network training set. For the undecided population (22.67% of December respondents; 23.67% of March respondents), the network predicted a final response distribution that is consistent with the approval/disapproval ratio of the decided population. Copyright © 2002 John Wiley & Sons, Ltd.