The main objective of equity traders is to find a trading law leading to a safe profit, whatever the dynamics of the price be. Recenlty, a novel approach based on feedback control has been proposed, which allows the trader to treat the price as an exogenous disturbance to reject, rather than a stochastic process to be modelled. Although very promising, some questions arise, among which how to design the feedback controller defining the trading policy. In this work, we propose a reformulation of feedback trading as a trend following robust control problem, in which mild knowledge on the price range is exploited. The proposed approach is shown to outperform the state of the art methods on real-world stocks.

(2019). A robust design strategy for stock trading via feedback control . Retrieved from http://hdl.handle.net/10446/169699

A robust design strategy for stock trading via feedback control

Previdi, Fabio
2019-01-01

Abstract

The main objective of equity traders is to find a trading law leading to a safe profit, whatever the dynamics of the price be. Recenlty, a novel approach based on feedback control has been proposed, which allows the trader to treat the price as an exogenous disturbance to reject, rather than a stochastic process to be modelled. Although very promising, some questions arise, among which how to design the feedback controller defining the trading policy. In this work, we propose a reformulation of feedback trading as a trend following robust control problem, in which mild knowledge on the price range is exploited. The proposed approach is shown to outperform the state of the art methods on real-world stocks.
2019
Maroni, Gabriele; Formentin, Simone.; Previdi, Fabio
File allegato/i alla scheda:
File Dimensione del file Formato  
2019 ECC - Robust design for stock trading using feedback control.pdf

Solo gestori di archivio

Versione: publisher's version - versione editoriale
Licenza: Licenza default Aisberg
Dimensione del file 630.33 kB
Formato Adobe PDF
630.33 kB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/169699
Citazioni
  • Scopus 7
  • ???jsp.display-item.citation.isi??? 5
social impact