A Generalization of Simultaneous Long–Short Stock Trading to PI Controllers

DOI10.1109/TAC.2018.2799484MaRDI QIDQ4562294zbMATH OpenOpenAlexFDO

Authors Shirzad Malekpour, James A. Primbs, B. Ross Barmish

Publication date 19 December 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2018.2799484

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Sensitivity (robustness) (93B35) Feedback control (93B52)

Cited in

(6)

• A predictive reference governor with computational delay
• Generalization of affine feedback stock trading results to include stop-loss orders
• Beating the market? A mathematical puzzle for market efficiency
• Data-driven stock trading in financial markets: an adaptive control approach
• Stochastic modeling of AAPL stock using classical stochastic differential equation models
• Robust algorithmic trading in a generalized lattice market

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