On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers
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Publication:6092460
DOI10.1016/J.EJCON.2023.100851zbMATH Open1527.91157OpenAlexW4380880306MaRDI QIDQ6092460FDOQ6092460
Authors: 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
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Cites Work
- Dynamic pairs trading using the stochastic control approach
- An optimal pairs-trading rule
- Trading a mean-reverting asset: buy low and sell high
- Stock trading: an optimal selling rule
- Pairs trading
- On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller
- Simultaneously long short trading in discrete and continuous time
- Beating the market? A mathematical puzzle for market efficiency
- An optimal strategy for pairs trading under geometric Brownian motions
- A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals
- On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous
- A Generalized Framework for Simultaneous Long-Short Feedback Trading
- Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
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