Simultaneously long short trading in discrete and continuous time

DOI10.1016/J.SYSCONLE.2016.11.011MaRDI QIDQ503833zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

sampled-data systemsfeedback-based stock tradingsimultaneously long short strategytechnical trading rulesLévy processes

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20) Trade models (91B60)

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Cites work

• A bounded risk strategy for a market with non-observable parameters.
• Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
• Explicit Computation of the Sampling Period in Emulation of Controllers for Nonlinear Sampled-Data Systems
• Input-output stability of sampled-data systems
• On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller
• Sufficient conditions for stabilization of sampled-data nonlinear systems via discrete-time approximations
• 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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