selecting the best forecasting-implied volatility model using genetic programming选择最佳的forecasting-implied波动模型使用遗传编程.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics and Decision Sciences Volume 2009, Article ID 179230, 19 pages doi:10.1155/2009/179230 Research Article Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming Wafa Abdelmalek,1 Sana Ben Hamida,2 and Fathi Abid1 1 RU: MODESFI, Faculty of Economics and Business, Road of the Airport Km 4, 3018 Sfax, Tunisia 2 Laboratory of Intelligent IT Engineering, Higher School of Technology and Computer Science, 2035 Charguia, Tunisia Correspondence should be addressed to Wafa Abdelmalek, wafa.abdelmalek@fsegs.rnu.tn Received 29 November 2008; Revised 15 April 2009; Accepted 10 June 2009 Recommended by Lean Yu The volatility is a crucial variable in option pricing and hedging strategies. The aim of this paper is to provide some initial evidence of the empirical relevance of genetic programming to volatility’s forecasting. By using real data from SP500 index options, the genetic programming’s ability to forecast Black and Scholes-implied volatility is compared between time series samples and moneyness-time to maturity classes. Total and out-of-sample mean squared errors are used as forecasting’s performance measures. Comparisons reveal that the time series model seems to be more accurate in forecasting-implied volatility than moneyness time to maturity models. Overall, results are strongly encouraging and suggest that the genetic programming approach works well in solving financial problems. Copyright q 2009 Wafa Abdelmalek et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the ori