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Development and calibration of a currency trading strategy using global optimization
(Springer Science+Business Media, 2013-06)
We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ...
Optimized calibration of currency market strategies
(2010)
We propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization
technology to maximize ...
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