Investigation of arbitrage opportunities in the Eurodollar futures market using neural networks

Victoria N. Yung; Ismail I. Jouny; Donald Chambers

doi:10.1117/12.235909

22 March 1996 Investigation of arbitrage opportunities in the Eurodollar futures market using neural networks

Victoria N. Yung, Ismail I. Jouny, Donald Chambers

Proceedings Volume 2760, Applications and Science of Artificial Neural Networks II; (1996) https://doi.org/10.1117/12.235909
Event: Aerospace/Defense Sensing and Controls, 1996, Orlando, FL, United States

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.

Citation Download Citation

Victoria N. Yung, Ismail I. Jouny, and Donald Chambers "Investigation of arbitrage opportunities in the Eurodollar futures market using neural networks", Proc. SPIE 2760, Applications and Science of Artificial Neural Networks II, (22 March 1996); https://doi.org/10.1117/12.235909

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