Development and calibration of a currency trading strategy using global optimization
نویسندگان
چکیده
منابع مشابه
Development and Calibration of Currency Market Strategies by Global Optimization
We have developed a new financial indicator – called the Interest Rate Differential Adjusted for Volatility (IRDAV) measure – to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and generate a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment strategy (buying a currency with high i...
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Optimization of a Trading System using Global Search Techniques and Local Optimization
Many problems in finance require the optimization of a mathematical model with respect to a set of parameters. Often the objective function for these models is a nonlinear, discontinuous, nonconvex, nondifferentiable function of both discrete and continuous variables. Objective functions of this type present a formidable challenge to classical methods of mathematical programming. In this paper ...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2012
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-012-9879-2