Simultaneously long short trading in discrete and continuous time
DOI10.1016/J.SYSCONLE.2016.11.011zbMATH Open1353.93116OpenAlexW2528389672MaRDI QIDQ503833FDOQ503833
Authors: Michael Heinrich Baumann, Lars Grüne 
Publication date: 23 January 2017
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://epub.uni-bayreuth.de/2899/1/baumann_gruene_sls_levy_preprint_2016.pdf
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sampled-data systemsfeedback-based stock tradingsimultaneously long short strategytechnical trading rulesLévy processes
Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20) Trade models (91B60)
Cites Work
- Sufficient conditions for stabilization of sampled-data nonlinear systems via discrete-time approximations
- Explicit Computation of the Sampling Period in Emulation of Controllers for Nonlinear Sampled-Data Systems
- Input-output stability of sampled-data systems
- A bounded risk strategy for a market with non-observable parameters.
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
Cited In (5)
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Beating the market? A mathematical puzzle for market efficiency
- LONG-SHORT STRATEGIES: AN EXTENSION
- On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers
- Data-driven stock trading in financial markets: an adaptive control approach
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