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Une application des réseaux de neurones artificiels MLP à la prévision du prix d'une option négociable

  • Antonio Fiordaliso
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    [fre] Une application des réseaux de neurones artificiels MLPà la prévision du prix d'une option négociable par Antonio Fiordaliso Le problème étudié est celui de la prévision du prix du call sur contrat à terme Eurodollar 3 mois (ED3). Le but recherché est de mettre au point un modèle de prévision neuronal, qui pourra s'intégrer ultérieurement dans un système expert flou de gestion dynamique de portefeuilles d'options. Nous détaillons quelques problèmes et techniques relatifs à la mise au point des modèles ANN {Artificial Neural Networks) dans le cadre d'une prévision effectuée à partir d'une seule variable explicative, et de plusieurs. L'architecture neuronale considérée est celle du Perceptron multi-couches (MLP). Nous comparons les prévisions neuronales à celles obtenues par d'autres techniques de prévision. [eng] Applying MLP Artificial Neural Networks to Forecasting the Price of a TVaded Option by Antonio Fiordaliso This article looks at forecasting the call price for a three-month Eurodollar (ED3) contract. The aim is to set up a neural forecasting model that can eventually be incorporated into a fuzzy expert system for active trading and hedging of option portfolios. The article details some of the problems and techniques involved in setting up ANN (Artificial Neural Network) models for a forecast based on one and then several explanatory variables. The neural architecture considered is that of the multi-layer perceptron (MLP). The neural forecasts are compared with those obtained using other forecasting techniques.

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 127 (1997)
    Issue (Month): 1 ()
    Pages: 47-62

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1997_num_127_1_5836
    Note: DOI:10.3406/ecop.1997.5836
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