Çağlayan, Mustafa; Pintér, János - In: Journal of Global Optimization 56 (2013) 2, pp. 353-371
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 this measure and then select a basket of pairs with the highest IRDAV...