FX Trading: An Empirical Study

14 Pages Posted: 15 Jul 2011

See all articles by Gerda Cabej

Gerda Cabej

University of Geneva

Manfred Gilli

University of Geneva - Research Center for Statistics; Swiss Finance Institute

Jonela Lula

University of Geneva

Enrico Schumann

Independent

Date Written: July 13, 2011

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: FX Trading, Asset Allocation, Technical Trading, Portfolio Optimization, Optimization Heuristics

JEL Classification: G11, C61, C63

Suggested Citation

Cabej, Gerda and Gilli, Manfred and Lula, Jonela and Schumann, Enrico, FX Trading: An Empirical Study (July 13, 2011). Available at SSRN: https://ssrn.com/abstract=1885044 or http://dx.doi.org/10.2139/ssrn.1885044

Gerda Cabej

University of Geneva ( email )

102 Bd Carl-Vogt
Genève, CH - 1205
Switzerland

Manfred Gilli (Contact Author)

University of Geneva - Research Center for Statistics ( email )

Geneva
Switzerland
+41223798222 (Phone)
+41223798299 (Fax)

HOME PAGE: http://www.unige.ch/ses/metri/gilli/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Jonela Lula

University of Geneva ( email )

102 Bd Carl-Vogt
Genève, CH - 1205
Switzerland

Enrico Schumann

Independent ( email )

No Address Available

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