Development and calibration of a currency trading strategy using global optimization
DOI10.1007/s10898-012-9879-2zbMath1275.90060OpenAlexW1995769823MaRDI QIDQ2392749
Mustafa Onur Çağlayan, János D. Pintér
Publication date: 2 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10679/440
numerical resultsaggregated risk metriccurrency trading modelExcel model implementationglobal optimization by Excel-LGOIRDAV financial indicatorLipschitz global optimizer (LGO) solver engine
Nonconvex programming, global optimization (90C26) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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