FX trading: An empirical study

Author

Cabej, Gerda ; Gilli, Manfred ; Lula, Jonela ; Schumann, Enrico

Author_Institution

Dept. of Econ., Univ. of Geneva, Geneva, Switzerland

fYear

2012

Firstpage

1

Lastpage

7

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on

Conference_Location

New York, NY

ISSN

PENDING

Print_ISBN

978-1-4673-1802-0

Electronic_ISBN

PENDING

Type

conf

DOI

10.1109/CIFEr.2012.6327825

Filename

6327825