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Commodity futures trading performance using neural network models versus ARIMA models

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  • Chrispin Ntungo
  • Milton Boyd

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

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  • Chrispin Ntungo & Milton Boyd, 1998. "Commodity futures trading performance using neural network models versus ARIMA models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(8), pages 965-983, December.
    • Handle: RePEc:wly:jfutmk:v:18:y:1998:i:8:p:965-983
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    Cited by:

    1. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
    2. Bernhard Zwergel, 2010. "On the exploitability of the turn-of-the-month effect-an international perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 20(11), pages 911-922.

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