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Proceedings Paper

Investigation of arbitrage opportunities in the Eurodollar futures market using neural networks
Author(s): Victoria N. Yung; Ismail I. Jouny; Donald Chambers
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Paper Abstract

Financial analysis is based on two opposing views: market efficiency theory and technical or fundamental analysis. There are three forms of market efficiency: weak form, semi-strong form and strong form. The weak form of market efficiency precludes the trends and patterns that technical analysis attempts to exploit. This work investigates whether it is possible to detect or predict patterns underlying Eurodollar futures trading. Multilayer perceptrons and radial basis functions were chosen to predict three time series based on different financial models. The findings challenge the existing efficient market theory in the case of Eurodollar futures trading.

Paper Details

Date Published: 22 March 1996
PDF: 7 pages
Proc. SPIE 2760, Applications and Science of Artificial Neural Networks II, (22 March 1996); doi: 10.1117/12.235909
Show Author Affiliations
Victoria N. Yung, Lafayette College (United States)
Ismail I. Jouny, Lafayette College (United States)
Donald Chambers, Lafayette College (United States)


Published in SPIE Proceedings Vol. 2760:
Applications and Science of Artificial Neural Networks II
Steven K. Rogers; Dennis W. Ruck, Editor(s)

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