{"title":"On Robustness of Adaptive Feedback Control for Stock Trading With Time-Varying Price Dynamics","authors":"Xiangyi Chen;Feng Zhu","doi":"10.1109/TAC.2024.3502506","DOIUrl":null,"url":null,"abstract":"We present an adaptive form of the simultaneous long-short (SLS) trading strategy, which employs feedback control principles for stock trading. Prior work established the “robust positive expectation” (RPE) theorem for the SLS strategy, asserting positive expectations of trading profits for stock prices following geometric Brownian motions with unknown parameters. We extend the RPE property to adaptive SLS strategies, which guarantee strictly positive expected profits even in round-trip price scenarios where traditional SLS strategies fail.","PeriodicalId":13201,"journal":{"name":"IEEE Transactions on Automatic Control","volume":"70 5","pages":"3303-3307"},"PeriodicalIF":7.0000,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"IEEE Transactions on Automatic Control","FirstCategoryId":"94","ListUrlMain":"https://ieeexplore.ieee.org/document/10758403/","RegionNum":1,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 0
Abstract
We present an adaptive form of the simultaneous long-short (SLS) trading strategy, which employs feedback control principles for stock trading. Prior work established the “robust positive expectation” (RPE) theorem for the SLS strategy, asserting positive expectations of trading profits for stock prices following geometric Brownian motions with unknown parameters. We extend the RPE property to adaptive SLS strategies, which guarantee strictly positive expected profits even in round-trip price scenarios where traditional SLS strategies fail.
期刊介绍：
In the IEEE Transactions on Automatic Control, the IEEE Control Systems Society publishes high-quality papers on the theory, design, and applications of control engineering. Two types of contributions are regularly considered:
1) Papers: Presentation of significant research, development, or application of control concepts.
2) Technical Notes and Correspondence: Brief technical notes, comments on published areas or established control topics, corrections to papers and notes published in the Transactions.
In addition, special papers (tutorials, surveys, and perspectives on the theory and applications of control systems topics) are solicited.
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