Using Modified Adaptive Neural Fuzzy Real-time Workshop for Self-correction of the Option Pricing Model
Eva Chung-chiung Yen · 2014
We propose a modified neuro-adaptive learning fuzzy system that can model, simulate, and analyze dynamic data. The system has two switches and three subsystems, which fits the need of advanced financial analysis. We can obtain the following important information: (1) the most powerful explanatory variable, (2) the length of most representative sample period, and (3) the optimal updated model. With learning mechanism, the mean absolute error will be decreased significantly.