Simultaneously long short trading in discrete and continuous time

DOI10.1016/J.SYSCONLE.2016.11.011zbMath1353.93116OpenAlexW2528389672MaRDI QIDQ503833

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

Lévy processessampled-data systemsfeedback-based stock tradingsimultaneously long short strategytechnical trading rules

Mathematics Subject Classification ID

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

Related Items (3)

Beating the market? A mathematical puzzle for market efficiency ⋮ Data-driven stock trading in financial markets: an adaptive control approach ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers

Cites Work

• Universal strategies for diffusion markets and possibility of asymptotic arbitrage
• 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
• Explicit Computation of the Sampling Period in Emulation of Controllers for Nonlinear Sampled-Data Systems
• Input-output stability of sampled-data systems
• Sufficient conditions for stabilization of sampled-data nonlinear systems via discrete-time approximations

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