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Aggregated risk metric 1 Currency trading model 1 Excel model implementation 1 Global optimization by excel-LGO 1 IRDAV financial indicator 1 Lipschitz global optimizer (LGO) solver engine 1 Numerical results 1
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Pintér, János 1 Çağlayan, Mustafa 1
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Journal of Global Optimization 1
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RePEc 1
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Development and calibration of a currency trading strategy using global optimization
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...
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