Development and calibration of a currency trading strategy using global optimization (Q2392749)
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scientific article; zbMATH DE number 6194373
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| English | Development and calibration of a currency trading strategy using global optimization |
scientific article; zbMATH DE number 6194373 |
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Development and calibration of a currency trading strategy using global optimization (English)
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2 August 2013
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currency trading model
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IRDAV financial indicator
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aggregated risk metric
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Excel model implementation
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Lipschitz global optimizer (LGO) solver engine
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global optimization by Excel-LGO
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numerical results
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0.7313716411590576
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0.7220802307128906
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0.6916705965995789
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0.6915693283081055
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0.6854269504547119
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