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Commodity futures trading performance using neural network models versus ARIMA models

Chrispin Ntungo and Milton Boyd

Journal of Futures Markets, 1998, vol. 18, issue 8, 965-983

Abstract: Neural networks trading returns are compared out‐of‐sample with traditional ARIMA returns for corn, silver, and deutsche mark. Results show that neural network and ARIMA models had positive returns, and at about the same levels. However, deutsche mark was less profitable and returns were not statistically different from zero, in contrast to corn and silver. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18: 965–983, 1998

Date: 1998
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