On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers

DOI10.1016/J.EJCON.2023.100851zbMATH Open1527.91157OpenAlexW4380880306MaRDI QIDQ6092460

Michael Heinrich Baumann

Publication date: 23 November 2023

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejcon.2023.100851

zbMATH Keywords

pairs tradingfeedback tradingcontrol-based tradingcross-coupled simultaneously long-short trading strategydirectional correlation

Mathematics Subject Classification ID

Feedback control (93B52) Financial markets (91G15)

Cites Work

• Simultaneously long short trading in discrete and continuous time
• An optimal strategy for pairs trading under geometric Brownian motions
• Dynamic pairs trading using the stochastic control approach
• A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals
• Beating the market? A mathematical puzzle for market efficiency
• Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
• An optimal pairs-trading rule
• Trading a mean-reverting asset: buy low and sell high
• Stock trading: an optimal selling rule
• On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller
• A Generalized Framework for Simultaneous Long-Short Feedback Trading
• On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous
• Pairs trading

This page was built for publication: On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6092460)