H. Najafi, R. Rahgozar, and B. Champlin (USA)
Neural Networks, Hedging, Risk Management, Futures, Derivative Securities, Crude Oil
This article introduces a new neural network based hedging model for crude oil price risk management. The hedging effectiveness of this model was investigated using the NYMEX futures prices with different maturity dates to hedge the WTI spot price risk. Empirical results demonstrate that the neural network based hedging model provides enhanced performance in price risk reduction relative to other approaches.
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