Rafael Rosillo

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The aim of this research is to analyse the effectiveness of the Chicago Board Options Exchange Market Volatility Index (VIX) when used with Support Vector Machines (SVMs) in order to forecast the weekly change in the S&P 500 index. The data provided cover the period between 3 January 2000 and 30 December 2011. A trading simulation is implemented so that(More)
This research aims at examining the application of support vector machines (SVMs) to the task of forecasting the weekly change in the Madrid IBEX-35 stock index. The data cover the period between 10/18/1990 and 10/29/2010. A trading simulation is implemented so that statistical efficiency is complemented by measures of economic performance. The inputs(More)
A common way of dynamically scheduling jobs in a manufacturing system is by implementing dispatching rules. The issues with this method are that the performance of these rules depends on the state the system is in at each moment and also that no “ideal” single rule exists for all the possible states that the system may be in. Therefore, it would be(More)