Optimized calibration of currency market strategies
Type : Conference paper
Publication Status : published
Access : openAccess
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 the performance of the currency basket, based on our selection of key decision variables. We introduce the model and present numerical results based on actual market data.
Source : 24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” (MEC EurOPT 2010)
Date : 2010
Share this page