FX Trading: An Empirical Study
14 Pages Posted: 15 Jul 2011
Date Written: July 13, 2011
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
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