Optimized calibration of currency market strategies

Name: Optimized calibration of currency market strategies
Author: Çağlayan, Mustafa Onur, Pinter, Janos D.

İsim	Optimized calibration of currency market strategies
Yazar	Çağlayan, Mustafa Onur, Pinter, Janos D.
Basım Tarihi:	2010
Konu	Quantitative financial model development, Currency markets, Globally optimized trading strategy, Numerical results
Tür	Belge
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	978-9955-28-598-4
Kayıt Numarası	fd1d1198-0724-4994-9101-4e4e7c3758f6
Lokasyon	Economics, Industrial Engineering
Tarih	2010
Örnek Metin	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.

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Özyeğin Üniversitesi

Kaynağa git

Optimized calibration of currency market strategies

Yazar Çağlayan, Mustafa Onur, Pinter, Janos D.

Basım Tarihi 2010

Konu Quantitative financial model development, Currency markets, Globally optimized trading strategy, Numerical results

Tür Belge

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 978-9955-28-598-4

Kayıt Numarası fd1d1198-0724-4994-9101-4e4e7c3758f6

Lokasyon Economics, Industrial Engineering

Tarih 2010

Örnek Metin 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.