Development and calibration of a currency trading strategy using global optimization
DOI10.1007/S10898-012-9879-2zbMATH Open1275.90060OpenAlexW1995769823MaRDI QIDQ2392749FDOQ2392749
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
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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)
Cites Work
- Title not available (Why is that?)
- Handbook of test problems in local and global optimization
- To be fair or efficient or a bit of both
- Solving circle packing problems by global optimization: numerical results and industrial applications
- 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
- Title not available (Why is that?)
- Software development for global optimization
Cited In (4)
- Optimized ellipse packings in regular polygons
- A derivative-free optimization approach for the autotuning of a forex trading strategy
- How difficult is nonlinear optimization? A practical solver tuning approach, with illustrative results
- Integrated experimental design and nonlinear optimization to handle computationally expensive models under resource constraints
Uses Software
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