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Gpremium: (Economic VO) Model calibration using Global Optimization

This workflow shows how a differential evolution optimizer is implemented with the GC3Pie library to support the analysis of a computationally intense economic model.

The paper Time-Varying International Diversification and the Forward Premium seeks to understand the comovement of interest rates and exchange rates.

The economic model is calibrated with data for five countries with major currencies. To illustrate the explanatory power of the model, the countries' preference parameters are chosen to bring the simulated economies close to the real world. The resulting 10-dimensional optimization problem of a nonconvex function is undertaken with the help of the GC3Pie library.

Note: The gpremium application does not require any RTE nor installation on sites as the binaries are distributed together with each submitted job.

Reference:

• Jonen B., Scheuring S. Time-Varying International Diversification and the Forward Premium (working paper). Institut für Banking und Finance, University of Zurich, 2011.
• GC3Pie libraries. http://code.google.com/p/gc3pie/