QFRG and DSLab open seminar
8 December 2020
We invite you to the sixth seminar of the monthly series of meetings conducted jointly by QFRG (Quantitative Finance Research Group) and DSLab (Data Science Lab). The meeting will be devoted to the topic: Artificial Neural Networks Performance in WIG20 Index Options Pricing , in which Maciej Wysocki (QFRG) and Robert Ślepaczuk (QFRG) will compare the performance of neural networks and the seminal Black–Scholes–Merton model in the pricing of options on the Warsaw Stock Exchange.
QFRG is a place where research is conducted and experiences are exchanged between people engaged in examining occurrences in the world of investment from the perspective of both theory and practice, on the verge of science and business. The activity of DSLab is focused mainly on academic projects devoted to deepening of the knowledge of DSLab team, sharing it with other people interested in Data Science issues and preparing scientific and didactic publications.
The sixth meeting will take place on December 14th, 2020 (Monday) at 5:00 pm online on Google Meet platform.
Link to the meeting : meet.google.com/qvd-ffsz-zwa
The meeting will be conducted in English. I would be grateful if you would confirm your participation by December 13th via email:
The presentation is scheduled for about 45 minutes, and after that we invite you to a discussion. Please log in the latest at 4:50 PM . The presentation will start at 5:00 PM.
Joining a meeting implies consent to recording . Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.
In this paper the performance of artificial neural networks in option pricing is analyzed and compared with the results obtained from the Black – Scholes – Merton model based on the historical volatility. The results are compared based on various error metrics calculated separately between three moneyness ratios. The market data-driven approach is taken in order to train and test the neural network on the real-world data from the Warsaw Stock Exchange. The artificial neural network does not provide more accurate option prices. The Black – Scholes – Merton model turned out to be more precise and robust to various market conditions. In addition, the bias of the forecasts obtained from the neural network differs significantly between moneyness states.
The next meeting is planned for January 18 th , 2021.
Posted by mbaba