Publication:
Optimized calibration of currency market strategies

Simple item page
dc.contributor.authorÇağlayan, Mustafa Onur
dc.contributor.authorPinter, Janos D.
dc.contributor.departmentEconomics
dc.contributor.departmentIndustrial Engineering
dc.contributor.ozuauthorÇAĞLAYAN, Mustafa Onur
dc.contributor.ozuauthorPINTER, Janos
dc.date.accessioned2016-02-18T12:08:34Z
dc.date.available2016-02-18T12:08:34Z
dc.date.issued2010
dc.description.abstractWe 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.
dc.identifier.endpage10
dc.identifier.isbn978-9955-28-598-4
dc.identifier.scopus2-s2.0-84905454956
dc.identifier.startpage5
dc.identifier.urihttp://hdl.handle.net/10679/3133
dc.language.isoengen_US
dc.peerreviewedyes
dc.publicationstatuspublisheden_US
dc.relation.ispartof24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” (MEC EurOPT 2010)
dc.relation.publicationcategoryInternational
dc.rightsopenAccess
dc.subject.keywordsQuantitative financial model development
dc.subject.keywordsCurrency markets
dc.subject.keywordsGlobally optimized trading strategy
dc.subject.keywordsNumerical results
dc.titleOptimized calibration of currency market strategiesen_US
dc.typeconferenceObjecten_US
dspace.entity.typePublication
relation.isOrgUnitOfPublication2afe80e3-623c-4807-a57e-2ce75845ccea
relation.isOrgUnitOfPublication5dd73c02-fd2d-43e0-9a23-71bab9ae0b6b
relation.isOrgUnitOfPublication.latestForDiscovery2afe80e3-623c-4807-a57e-2ce75845ccea

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Optimized calibration of currency market strategies.pdf
Size:
218.23 KB
Format:
Adobe Portable Document Format
Description:
Optimized calibration of currency market strategies
Download

Collections

Business Administration