Abstract
This chapter investigates the information content of SGX-DT (Singapore Exchange-Derivatives Trading Limited) MSCI (Morgan Stanley Capital International) Taiwan futures contracts and its underlying cash market during the non-cash-trading (NCT) period. Previous day’s cash market closing index and the grey forecasts by using the futures during the NCT period are used to forecast the 09:00 AM opening cash price index by the neural networks model. To demonstrate the effectiveness of our proposed method, the five-minute intraday data of spot and futures index from October 1, 1998 to December 31, 1999 was evaluated using the special neural network modeling. Analytic results demonstrate that the proposed model of integrating grey forecasts and neural networks outperforms the neural network model with previous day’s closing index as the input variable, the random walk model and AR,IMA forecasting. It therefore indicates that there is valuable information involved in the futures prices during the NCT period in forecasting the opening cash price index. Besides, grey forecasts provide a better initial solution that speeds up the learning procedure for the neural networks which in turn give better forecasting results.
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Lee, TS., Chen, NJ., Chiu, CC. (2004). Forecasting the Opening Cash Price Index in Integrating Grey Forecasting and Neural Networks: Evidence from the SGX-DT MSCI Taiwan Index Futures Contracts. In: Chen, SH., Wang, P.P. (eds) Computational Intelligence in Economics and Finance. Advanced Information Processing. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06373-6_5
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DOI: https://doi.org/10.1007/978-3-662-06373-6_5
Publisher Name: Springer, Berlin, Heidelberg
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