Development and Calibration of Currency Market Strategies by Global Optimization

@inproceedings{aglayan2010DevelopmentAC,
  title={Development and Calibration of Currency Market Strategies by Global Optimization},
  author={Mustafa Onur Çaglayan and J{\'a}nos D. Pint{\'e}r},
  year={2010}
}
We have developed a new financial indicator – called the Interest Rate Differential Adjusted for Volatility (IRDAV) measure – to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and generate a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment… CONTINUE READING