Development and calibration of a currency trading strategy using global optimization
From MaRDI portal
Publication:2392749
DOI10.1007/s10898-012-9879-2zbMath1275.90060MaRDI QIDQ2392749
János D. Pintér, Mustafa Onur Çağlayan
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 results; aggregated risk metric; currency trading model; Excel model implementation; global optimization by Excel-LGO; IRDAV financial indicator; Lipschitz global optimizer (LGO) solver engine
90C26: Nonconvex programming, global optimization
91G30: Interest rates, asset pricing, etc. (stochastic models)
Uses Software