Development and calibration of a currency trading strategy using global optimization

DOI10.1007/S10898-012-9879-2MaRDI QIDQ2392749zbMATH OpenOpenAlexFDO

Authors Mustafa Onur Çağlayan, János Pinter

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)

Recommendations

• A derivative-free optimization approach for the autotuning of a forex trading strategy
• Global optimization of costly non-convex functions with financial applications
• An international portfolio optimization model hedged with forward currency contracts
• A global optimization heuristic for estimating agent based models
• Applications of Global Optimization to Portfolio Analysis

Cites work

• scientific article; zbMATH DE number 1058961 (Why is no real title available?)
• scientific article; zbMATH DE number 1857684 (Why is no real title available?)
• A global optimization approach to laser design
• An optimization-based approach to the multiple static delivery technique in radiation therapy
• Handbook of test problems in local and global optimization
• Integrated productions system optimization using global optimization techniques
• Nonlinear optimization with GAMS /LGO
• Software development for global optimization
• Solving circle packing problems by global optimization: numerical results and industrial applications
• To be fair or efficient or a bit of both

Cited in

(4)

• Optimized ellipse packings in regular polygons
• How difficult is nonlinear optimization? A practical solver tuning approach, with illustrative results
• A derivative-free optimization approach for the autotuning of a forex trading strategy
• Integrated experimental design and nonlinear optimization to handle computationally expensive models under resource constraints

Describes a project that uses

Uses Software

• LGO
• Excel

This page was built for publication: Development and calibration of a currency trading strategy using global optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2392749)