Title :
FX trading: An empirical study
Author :
Cabej, Gerda ; Gilli, Manfred ; Lula, Jonela ; Schumann, Enrico
Author_Institution :
Dept. of Econ., Univ. of Geneva, Geneva, Switzerland
Abstract :
Given a set of tick-by-tick data of five currency pairs we analyze several traditional asset allocation techniques as well as technical trading rule based models. In particular we explore appropriate levels of time aggregation and rebalancing frequencies. We also suggest a triggered rebalancement strategy which results in better performance and lower transaction costs. For the asset allocation approach multiple objectives are optimized using heuristic optimization techniques.
Keywords :
asset management; foreign exchange trading; optimisation; transaction processing; FX trading; asset allocation approach multiple objective optimization; currency pairs; empirical study; frequency rebalancing; heuristic optimization techniques; technical trading rule-based models; tick-by-tick data set; time aggregation; transaction costs; triggered rebalancement strategy; Computational modeling; Linear programming; Market research; Moment methods; Optimization; Portfolios; Resource management;
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
DOI :
10.1109/CIFEr.2012.6327825
