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.     

对西方数学直观的评析

本文从数学方法论的角度,具体论述和评析了西方数学直观随数学发展的不同阶段所表现出的特点和演变方式。     

耗散准模腔场与激子相互作用的量子统计性质

研究了耗散准模腔场与激子相互作用的量子统计特性 ,给出了当腔场初始处于真空态而激子处于真空态与粒子数态大于 2的叠加态时的腔场与激子能量交换的表达式。研究结果表明 ,激子和腔场可以呈现亚泊松分布状态 ,激子与腔场之间的关联是经典的 ,不存在Cauchy Schwartz不等式的偏离现象。     

统计因素分析法刍议

本文主要就统计因素分析法中不变因素的固定时期问题．提出了“先变因素和后变因素”的观点，从而对统计指数理论难以解释的问题．变得较为容易处理。     

1998年至2003年山西省科技进步统计分析

通过山西省5年期间科技进步统计检测指标位次，进一步分析了科技进步统计监测体系的四个一级指标。     

导弹发射决策专家系统推理机研究与实现

介绍了一种基于灵活、通用的知识表达方法的推理机。它将面向对象方法和问题求解的黑板模型有机结合 ,自带各种控制信息和适宜的不确定性推理算法 ,将知识库分层和模块化 ,极大地提高了推理效率。推理机根据监控信息 ,推理计算出导弹允许发射的合格置信度 ,已应用于导弹发射决策专家系统设计中。     

统计分析在血铅检测中的应用

该文针对河海大学幼儿园接受血铅调测的337名幼儿,以对家长问卷调查的方式,运用方差分析、假设检验及区间估计的方法对这些幼儿的血铅超标情况进行了统计分析.结果表明,虽然各年级幼儿血铅浓度无显著差异,但是大、中班幼儿(4～6岁)由于受环境铅污染机会多于小班幼儿和托班幼儿,故血铅超标率稍高;幼儿经常挑食、外出方式以助力车或摩托车为主、家长经常吸烟、家长职业性接触铅及其化合物等是血铅浓度超标的主要因素.     

论统计方法在财务会计中的应用

阐述了财务会计与统计的内在联系及协调统一,分析了统计方法在财务会计领域的运用。     

企业统计技术要素管理中的相关问题及对策

统计技术是现代企业质量体系的重要要素。基于当前企业统计技术要素管理相对薄弱、滞后的现状,分析其实践中存在的相关问题,并结合实际对企业提高统计技术要素管理水平、增强统计方法实施有效性提出相应的对策和建议。     

Finding global minima with a new dynamical evolutionary algorithm

A new dynamical evolutionary algorithm (DEA) based on the theory of statistical mechanics is presented. This algorithm is very different from the traditional evolutionary algorithm and the two novel features are the unique of selecting strategy and the determination of individuals that are selected to crossover and mutate. We use DEA to solve a lot of global optimization problems that are nonlinear, multimodal and multidimensional and obtain satisfactory results. Foundation item: Supported by the National Natural Science Foundation of China (No. 60133010, NO. 60073043 and No. 700/1042) Biography: Zou Xiu-fen(1996-), female, Ph. D candidate, Associate professor, research direction: evolutionary computing, parallel computing.