| BS | CEV\((\beta =1)\) | GARCH(1,1) | FinGAN-MLP | FinGAN-LSTM | DeepPricing |
---|---|---|---|---|---|---|
Panel A. MAPE | ||||||
All | 0.0934 | 0.0924 | 0.0893 | 0.0831 | 0.0797 | 0.0721 |
Equity-liked | 0.1009 | 0.0983 | 0.0924 | 0.0874 | 0.0829 | 0.0774 |
Balanced | 0.0908 | 0.0827 | 0.0783 | 0.0773 | 0.0746 | 0.0712 |
Bond-liked | 0.0874 | 0.0832 | 0.0794 | 0.0785 | 0.0757 | 0.0722 |
Bull market | 0.1302 | 0.1243 | 0.1138 | 0.1086 | 0.0993 | 0.0927 |
Direction-less market | 0.0619 | 0.0612 | 0.0582 | 0.0562 | 0.0546 | 0.0535 |
Bear market | 0.0879 | 0.0874 | 0.0821 | 0.0791 | 0.0769 | 0.0724 |
In-the-money | 0.0932 | 0.0926 | 0.0914 | 0.0891 | 0.0862 | 0.0824 |
At-the-money | 0.0731 | 0.0713 | 0.0704 | 0.0693 | 0.0681 | 0.0676 |
Out-of-the-money | 0.0953 | 0.0914 | 0.0893 | 0.0867 | 0.0841 | 0.0804 |
Panel B. \(\Delta \text {MAPE}_{i|\text {CEV}(\beta =1)}\) | ||||||
All | 1.07 | 0.00 | −3.41 | −10.61 | −14.79 | −24.81 |
Equity-liked | 2.61 | 0.00 | −6.19 | −11.75 | −17.04 | −23.90 |
Balanced | 9.31 | 0.00 | −5.47 | −6.75 | −10.31 | −14.97 |
Bond-liked | 4.90 | 0.00 | -4.67 | -5.81 | -9.47 | -14.24 |
Bull market | 4.64 | 0.00 | −8.83 | −13.50 | −22.46 | −29.33 |
Direction-less market | 1.12 | 0.00 | −5.03 | −8.52 | −11.41 | −13.45 |
Bear market | 0.52 | 0.00 | −6.26 | −9.98 | −12.80 | −18.83 |
In-the-money | 0.64 | 0.00 | −1.30 | −3.85 | −7.16 | −11.67 |
At-the-money | 2.48 | 0.00 | −1.27 | −2.85 | −4.59 | −5.33 |
Out-of-the-money | 4.17 | 0.00 | −2.32 | −5.28 | −8.32 | −12.82 |
Panel C. \(\Delta \text {MAPE}_{i|\text {GARCH}(1,1)}\) | ||||||
All | 4.49 | 3.41 | 0.00 | −7.20 | −11.37 | −21.39 |
Equity-liked | 8.80 | 6.19 | 0.00 | −5.56 | −10.85 | −17.71 |
Balanced | 14.78 | 5.47 | 0.00 | −1.29 | −4.84 | −9.51 |
Bond-liked | 9.58 | 4.67 | 0.00 | −1.14 | −4.77 | −9.56 |
Bull market | 13.46 | 8.83 | 0.00 | −4.68 | −13.63 | −20.51 |
Direction-less market | 6.14 | 5.03 | 0.00 | −3.50 | −6.39 | −8.42 |
Bear market | 6.77 | 6.26 | 0.00 | −3.72 | −6.54 | −12.57 |
In-the-money | 1.95 | 1.30 | 0.00 | −2.55 | −5.86 | −10.37 |
At-the-money | 3.75 | 1.27 | 0.00 | −1.57 | −3.32 | −4.06 |
Out-of-the-money | 6.49 | 2.32 | 0.00 | −2.95 | −6.00 | −10.50 |
Panel D. \(\Delta \text {MAPE}_{i|\text {FinGAN-MLP}}\) | ||||||
All | 11.68 | 10.61 | 7.20 | 0.00 | −4.18 | −14.20 |
Equity-liked | 14.36 | 11.75 | 5.56 | 0.00 | −5.29 | −12.15 |
Balanced | 16.10 | 6.75 | 1.29 | 0.00 | −3.56 | −8.22 |
Bond-liked | 10.74 | 5.81 | 1.14 | 0.00 | −3.63 | −8.37 |
Bull market | 18.14 | 13.50 | 4.68 | 0.00 | −8.95 | −15.83 |
Direction-less market | 9.66 | 8.52 | 3.50 | 0.00 | −2.89 | −4.92 |
Bear market | 10.55 | 9.98 | 3.72 | 0.00 | −2.82 | −8.85 |
In-the-money | 4.50 | 3.85 | 2.55 | 0.00 | −3.31 | −7.82 |
At-the-money | 5.34 | 2.85 | 1.57 | 0.00 | −1.75 | −2.48 |
Out-of-the-money | 9.46 | 5.28 | 2.95 | 0.00 | −3.04 | −7.54 |
Panel E. \(\Delta \text {MAPE}_{i|\text {FinGAN-LSTM}}\) | ||||||
All | 15.86 | 14.79 | 11.37 | 4.18 | 0.00 | −10.02 |
Equity-liked | 19.65 | 17.04 | 10.85 | 5.29 | 0.00 | −6.86 |
Balanced | 19.65 | 10.31 | 4.84 | 3.56 | 0.00 | −4.66 |
Bond-liked | 14.37 | 9.45 | 4.77 | 3.63 | 0.00 | −4.73 |
Bull market | 27.09 | 22.46 | 13.63 | 8.95 | 0.00 | −6.88 |
Direction-less market | 12.55 | 11.41 | 6.39 | 2.89 | 0.00 | −2.04 |
Bear market | 13.37 | 12.80 | 6.54 | 2.82 | 0.00 | −6.03 |
In-the-money | 7.81 | 7.16 | 5.86 | 3.31 | 0.00 | −4.51 |
At-the-money | 7.09 | 4.59 | 3.32 | 1.75 | 0.00 | −0.74 |
Out-of-the-money | 12.50 | 8.32 | 6.00 | 3.04 | 0.00 | −4.50 |
Panel F. \(\Delta \text {MAPE}_{i|\text {DeepPricing}}\) | ||||||
All | 25.88 | 24.81 | 21.39 | 14.20 | 10.02 | 0.00 |
Equity-liked | 26.51 | 23.90 | 17.71 | 12.15 | 6.86 | 0.00 |
Balanced | 24.28 | 14.97 | 9.51 | 8.22 | 4.66 | 0.00 |
Bond-liked | 19.14 | 14.24 | 9.56 | 8.37 | 4.73 | 0.00 |
Bull market | 33.97 | 29.33 | 20.51 | 15.83 | 6.88 | 0.00 |
Direction-less market | 14.56 | 13.45 | 8.42 | 4.92 | 2.04 | 0.00 |
Bear market | 19.35 | 18.83 | 12.57 | 8.85 | 6.03 | 0.00 |
In-the-money | 12.31 | 11.67 | 10.37 | 7.82 | 4.51 | 0.00 |
At-the-money | 7.81 | 5.33 | 4.06 | 2.48 | 0.74 | 0.00 |
Out-of-the-money | 16.99 | 12.82 | 10.50 | 7.54 | 4.50 | 0.00 |