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

zbMATH Keywords

numerical resultsaggregated risk metriccurrency trading modelExcel model implementationglobal optimization by Excel-LGOIRDAV financial indicatorLipschitz global optimizer (LGO) solver engine

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

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Uses Software

• LGO
• Excel

Cites Work

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• To be fair or efficient or a bit of both
• Solving circle packing problems by global optimization: numerical results and industrial applications
• Handbook of test problems in local and global optimization
• A global optimization approach to laser design
• An optimization-based approach to the multiple static delivery technique in radiation therapy
• Nonlinear optimization with GAMS /LGO
• Integrated productions system optimization using global optimization techniques

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