(WP 03/04 Clave pdf) Previous studies have reported mixed results with regard to the success of technical trading rules.Studies that provide positive evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al (1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the...

We use the GRASP procedure to select a subset of financial ratios that are then used to estimate a model of logistic regression to anticipate financial distress on a sample of Spanish firms. The algorithm we suggest is designed "ad-hoc" for this type of variables. Reducing dimensionality has...

(WP24/02 Clave pdf) This paper analyzes the robustness of Genetic Algorithms (GAs) technique for its application in the field of trading systems design for the Stock Exchange. The functioning of the GA is driven by the control parameters: crossover and mutation probabilities, number of...