A robust design strategy for stock trading via feedback control

被引：0

作者：

Maroni, Gabriele ^{[1
]}

Formentin, Simone ^{[2
]}

Previdi, Fabio ^{[1
]}

机构：

[1] Univ Bergamo, Dept Management Informat & Prod Engn, Via G Marconi 5, I-24044 Dalmine, BG, Italy

[2] Politecn Milan, Dipartimento Elettron Informaz & Bioingn, Via Ponzio 34-5, I-20133 Milan, Italy

来源：

2019 18TH EUROPEAN CONTROL CONFERENCE (ECC) | 2019年

关键词：

MODEL;

D O I：

10.23919/ecc.2019.8795812

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：477 / 482

页数：6

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