The aim of this paper is to develop a trading system based on Support Vector Machines (SVM) in or... more The aim of this paper is to develop a trading system based on Support Vector Machines (SVM) in order to use it in the S&P500 index. The data covers the period between 03/01/2000 and 30/12/2011. The inputs of the SVM are different forecasting algorithms: Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD), Momentum, Bollinger Bands and the Chicago Board Options Exchange Volatility Index (VIX). A SVM Classifier has been used in order to develop the trading system with a weekly forecast. The output of the SVM is the decision making for investors. The trading system works better in bearish movement of the S&P500 than bullish movement of the S&P500.
In this paper, a result for bivariate normal distributions (Sheppard, 1899) from statistics is tr... more In this paper, a result for bivariate normal distributions (Sheppard, 1899) from statistics is transformed into a financial asset context in order to build a tool which could translate a correlation matrix into an equivalent probability matrix and vice versa. This way, the correlation coefficient parameter is more understandable in terms of joint probability of two stocks' returns, and much more useful in terms of the information it provides. We validate, empirically, our result for a sample covering the three market capitalization categories in the S&P 500 index over a ten-year period. Finally, the accuracy of this new tool is measured theoretically and some applications from the practitioners’ point of view are offered. Such applications include, for instance, the calculation of the number of trading days in a year of two stocks with the same sign of returns and how to split the average return of weighted stocks into four orthants.
... MIDIENDO LA VOLATILIDAD DEL MERCADO DE OPCIONES CON EL VIX Javier Giner Rubio y Sandra Morini... more ... MIDIENDO LA VOLATILIDAD DEL MERCADO DE OPCIONES CON EL VIX Javier Giner Rubio y Sandra Morini Marrero ... estudios, destaquemos los trabajos de Rubio y Salvador (1991), Peiró (1994), Martínez-Abascal (1993), Peña (1995) y Corredor y Santamaría (1996). ...
The Journal of the Acoustical Society of America, 2001
ABSTRACT This article is an extension of the procedure to estimate errors in ray-tracing calculat... more ABSTRACT This article is an extension of the procedure to estimate errors in ray-tracing calculations of room response proposed by Giner et al. [J. Acoust. Soc. Am. 106, 816-823 (1999)]. The previous article presented an expression to estimate the error in computing the energy reaching a receptor during a small time interval. This expression was obtained assuming that a pure ray-tracing program is used and a Monte Carlo Technique is applied. In the present work these ideas are extended in order to compute the objective acoustic parameters of a room. The corresponding equations are presented in closed form. Our results show that the number of rays involved in the analysis depends on the nature of the parameters to be evaluated. Some examples are shown in order to validate our conclusions.
The Journal of the Acoustical Society of America, 1999
ABSTRACT The Monte Carlo method is applied to the ray-tracing method to obtain an error measure o... more ABSTRACT The Monte Carlo method is applied to the ray-tracing method to obtain an error measure of the sound energy hitting a receptor during a time interval. Simple geometrical interpretations are introduced to guide the equation development. The variance measurement method introduced a few years ago as an error indicator for the ray-tracing technique is analyzed and compared with the new method. It is shown that the previous method cannot be considered either an error measure or an error estimator, and that the new one provides a consistent answer to many simulation problems. The effects of wall absorption, reverberation time, elapsed time, and integration interval in both formulas are evaluated. (C) 1999 Acoustical Society of America. [S0001-4966(99)06007-5].
The aim of this paper is to develop a trading system based on Support Vector Machines (SVM) in or... more The aim of this paper is to develop a trading system based on Support Vector Machines (SVM) in order to use it in the S&P500 index. The data covers the period between 03/01/2000 and 30/12/2011. The inputs of the SVM are different forecasting algorithms: Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD), Momentum, Bollinger Bands and the Chicago Board Options Exchange Volatility Index (VIX). A SVM Classifier has been used in order to develop the trading system with a weekly forecast. The output of the SVM is the decision making for investors. The trading system works better in bearish movement of the S&P500 than bullish movement of the S&P500.
In this paper, a result for bivariate normal distributions (Sheppard, 1899) from statistics is tr... more In this paper, a result for bivariate normal distributions (Sheppard, 1899) from statistics is transformed into a financial asset context in order to build a tool which could translate a correlation matrix into an equivalent probability matrix and vice versa. This way, the correlation coefficient parameter is more understandable in terms of joint probability of two stocks' returns, and much more useful in terms of the information it provides. We validate, empirically, our result for a sample covering the three market capitalization categories in the S&P 500 index over a ten-year period. Finally, the accuracy of this new tool is measured theoretically and some applications from the practitioners’ point of view are offered. Such applications include, for instance, the calculation of the number of trading days in a year of two stocks with the same sign of returns and how to split the average return of weighted stocks into four orthants.
... MIDIENDO LA VOLATILIDAD DEL MERCADO DE OPCIONES CON EL VIX Javier Giner Rubio y Sandra Morini... more ... MIDIENDO LA VOLATILIDAD DEL MERCADO DE OPCIONES CON EL VIX Javier Giner Rubio y Sandra Morini Marrero ... estudios, destaquemos los trabajos de Rubio y Salvador (1991), Peiró (1994), Martínez-Abascal (1993), Peña (1995) y Corredor y Santamaría (1996). ...
The Journal of the Acoustical Society of America, 2001
ABSTRACT This article is an extension of the procedure to estimate errors in ray-tracing calculat... more ABSTRACT This article is an extension of the procedure to estimate errors in ray-tracing calculations of room response proposed by Giner et al. [J. Acoust. Soc. Am. 106, 816-823 (1999)]. The previous article presented an expression to estimate the error in computing the energy reaching a receptor during a small time interval. This expression was obtained assuming that a pure ray-tracing program is used and a Monte Carlo Technique is applied. In the present work these ideas are extended in order to compute the objective acoustic parameters of a room. The corresponding equations are presented in closed form. Our results show that the number of rays involved in the analysis depends on the nature of the parameters to be evaluated. Some examples are shown in order to validate our conclusions.
The Journal of the Acoustical Society of America, 1999
ABSTRACT The Monte Carlo method is applied to the ray-tracing method to obtain an error measure o... more ABSTRACT The Monte Carlo method is applied to the ray-tracing method to obtain an error measure of the sound energy hitting a receptor during a time interval. Simple geometrical interpretations are introduced to guide the equation development. The variance measurement method introduced a few years ago as an error indicator for the ray-tracing technique is analyzed and compared with the new method. It is shown that the previous method cannot be considered either an error measure or an error estimator, and that the new one provides a consistent answer to many simulation problems. The effects of wall absorption, reverberation time, elapsed time, and integration interval in both formulas are evaluated. (C) 1999 Acoustical Society of America. [S0001-4966(99)06007-5].
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Papers by Javier Giner