Optimized calibration of currency market strategies Conference

Çaǧlayan, MO, Pintér, JD. (2010). Optimized calibration of currency market strategies . 5-10.

cited authors

  • Çaǧlayan, MO; Pintér, JD

abstract

  • We propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization technology to maximize the performance of the currency basket, based on our selection of key decision variables. We introduce the model and present numerical results based on actual market data. © Izmir University of Economics, Turkey, 2010.

authors

publication date

  • January 1, 2010

start page

  • 5

end page

  • 10