| BS | CEV\((\beta =1)\) | GARCH(1,1) | FinGAN-MLP | FinGAN-LSTM | DeepPicing |
---|---|---|---|---|---|---|
Panel A. MAE | ||||||
All | 12.0287 | 11.8763 | 11.1084 | 10.8231 | 10.2431 | 9.8903 |
Equity-liked | 16.188 | 15.0215 | 13.4516 | 11.4863 | 10.8942 | 10.1721 |
Balanced | 9.6481 | 8.1742 | 7.6872 | 7.6196 | 7.3534 | 7.0184 |
Bond-liked | 9.325 | 8.0184 | 7.4203 | 7.3255 | 7.1573 | 6.9218 |
Bull market | 12.8915 | 11.7632 | 10.7654 | 10.1951 | 9.7792 | 9.1293 |
Direction-less market | 6.6288 | 5.9824 | 5.7324 | 5.4552 | 5.2999 | 5.1932 |
Bear market | 11.9657 | 10.9873 | 9.8935 | 8.8601 | 8.6137 | 8.1097 |
In-the-money | 9.7683 | 8.2943 | 7.6729 | 7.4353 | 7.1933 | 6.8762 |
At-the-money | 8.7610 | 7.4985 | 7.9832 | 6.9882 | 6.5759 | 6.3291 |
Out-of-the-money | 15.4354 | 14.8621 | 14.9824 | 11.8153 | 11.4910 | 10.0295 |
Panel B. \(\Delta \text {MAE}_{i|\text {CEV}(\beta =1)}\) | ||||||
All | 1.27 | 0.00 | −6.68 | −9.29 | −14.79 | −18.3 |
Equity-liked | 7.48 | 0.00 | −11.04 | −26.83 | −32.13 | −38.98 |
Balanced | 16.58 | 0.00 | −6.14 | −7.03 | −10.58 | −15.24 |
Bond-liked | 15.1 | 0.00 | −7.75 | −9.04 | −11.36 | −14.71 |
Bull market | 9.16 | 0.00 | −8.86 | −14.31 | −18.47 | −25.35 |
Direction-less market | 10.26 | 0.00 | −4.27 | −9.23 | −12.11 | −14.15 |
Bear market | 8.53 | 0.00 | −10.49 | −21.52 | −24.34 | −30.37 |
In-the-money | 16.36 | 0.00 | −7.79 | −10.93 | −14.24 | −18.75 |
At-the-money | 15.56 | 0.00 | 6.26 | −7.05 | −13.13 | −16.95 |
Out-of-the-money | 3.79 | 0.00 | 0.81 | −22.94 | −25.73 | −39.33 |
Panel C. \(\Delta \text {MAE}_{i|\text {GARCH}(1,1)}\) | ||||||
All | 7.96 | 6.68 | 0.00 | −2.60 | −8.11 | −11.61 |
Equity-liked | 18.52 | 11.04 | 0.00 | −15.79 | −21.09 | −27.94 |
Balanced | 22.72 | 6.14 | 0.00 | −0.88 | −4.44 | −9.1 |
Bond-liked | 22.85 | 7.75 | 0.00 | −1.29 | −3.61 | −6.95 |
Bull market | 18.02 | 8.86 | 0.00 | −5.44 | −9.61 | −16.48 |
Direction-less market | 14.53 | 4.27 | 0.00 | −4.96 | −7.84 | −9.88 |
Bear market | 19.02 | 10.49 | 0.00 | −11.03 | −13.85 | −19.88 |
In-the-money | 24.15 | 7.79 | 0.00 | −3.15 | −6.45 | −10.96 |
At-the-money | 9.3 | −6.26 | 0.00 | −13.31 | −19.39 | −23.22 |
Out-of-the-money | 2.98 | −0.81 | 0.00 | −23.75 | −26.53 | −40.13 |
Panel D. \(\Delta \text {MAE}_{i|\text {FinGAN-MLP}}\) | ||||||
All | 10.56 | 9.29 | 2.60 | 0.00 | −5.51 | −9.01 |
Equity-liked | 34.31 | 26.83 | 15.79 | 0.00 | −5.29 | −12.15 |
Balanced | 23.60 | 7.03 | 0.88 | 0.00 | −3.56 | −8.22 |
Bond-liked | 24.13 | 9.04 | 1.29 | 0.00 | −2.32 | −5.67 |
Bull market | 23.47 | 14.31 | 5.44 | 0.00 | −4.16 | −11.04 |
Direction-less market | 19.49 | 9.23 | 4.96 | 0.00 | −2.89 | −4.92 |
Bear market | 30.05 | 21.52 | 11.03 | 0.00 | −2.82 | −8.85 |
In-the-money | 27.29 | 10.93 | 3.15 | 0.00 | −3.31 | −7.82 |
At-the-money | 22.61 | 7.05 | 13.31 | 0.00 | −6.08 | −9.91 |
Out-of-the-money | 26.73 | 22.94 | 23.75 | 0.00 | −2.78 | −16.39 |
Panel E. \(\Delta \text {MAE}_{i|\text {FinGAN-LSTM}}\) | ||||||
All | 16.07 | 14.79 | 8.11 | 5.51 | 0.00 | −3.50 |
Equity-liked | 39.60 | 32.13 | 21.09 | 5.29 | 0.00 | −6.86 |
Balanced | 27.16 | 10.58 | 4.44 | 3.56 | 0.00 | −4.66 |
Bond-liked | 26.46 | 11.36 | 3.61 | 2.32 | 0.00 | −3.35 |
Bull market | 27.63 | 18.47 | 9.61 | 4.16 | 0.00 | −6.88 |
Direction-less market | 22.37 | 12.11 | 7.84 | 2.89 | 0.00 | −2.03 |
Bear market | 32.87 | 24.34 | 13.85 | 2.82 | 0.00 | −6.03 |
In-the−money | 30.60 | 14.24 | 6.45 | 3.31 | 0.00 | −4.51 |
At-the-money | 28.69 | 13.13 | 19.39 | 6.08 | 0.00 | −3.83 |
Out-of-the-money | 29.51 | 25.73 | 26.53 | 2.78 | 0.00 | −13.60 |
Panel F. \(\Delta \text {MAE}_{i|\text {DeepPricing}}\) | ||||||
All | 19.57 | 18.3 | 11.61 | 9.01 | 3.50 | 0.00 |
Equity-liked | 46.46 | 38.98 | 27.94 | 12.15 | 6.86 | 0.00 |
Balanced | 31.82 | 15.24 | 9.1 | 8.21 | 4.66 | 0.00 |
Bond-liked | 29.8 | 14.71 | 6.95 | 5.67 | 3.35 | 0.00 |
Bull market | 34.51 | 25.35 | 16.48 | 11.04 | 6.88 | 0.00 |
Direction-less market | 24.41 | 14.15 | 9.88 | 4.92 | 2.03 | 0.00 |
Bear market | 38.9 | 30.37 | 19.88 | 8.85 | 6.03 | 0.00 |
In-the-money | 35.11 | 18.75 | 10.96 | 7.82 | 4.51 | 0.00 |
At-the-money | 32.52 | 16.95 | 23.22 | 9.91 | 3.83 | 0.00 |
Out-of-the-money | 43.11 | 39.33 | 40.13 | 16.39 | 13.60 | 0.00 |