search query: @indexterm OPTION PRICES / total: 70
reference: 62 / 70
| Author: | Baestaens, D. |
| Title: | Options as a predictor of common stock price changes |
| Journal: | European Journal of Finance
1995 : DEC, VOL. 1:4, p. 325-349 |
| Index terms: | OPTION PRICES TRANSACTION COSTS STOCK RETURNS |
| Language: | eng |
| Abstract: | Since rather novel techniques such as neural nets allow investigation of nonlinear model specification previously untested, it may be that traditional models of price formation underperform through misspecification rather than market efficiency. This paper explores whether a multilayer backpropagation model offers exploitable profit opportunities for some limited period. Using an intraday transaction dataset obtained from the European Options Exchange (Amsterdam), the authors attempted to predict the return on Phillips. |
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