Related papers: A Generalization of the Robust Positive Expectatio…
The Simultaneous Long-Short(SLS) controller for trading a single stock is known to guarantee positive expected value of the resulting gain-loss function with respect to a large class of stock price dynamics. In the literature, this is known…
In this paper, we extend the existing double linear policy by incorporating time-varying weights instead of constant weights and study a certain robustness property, called robust positive expectation (RPE), in a discrete-time setting. We…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
One approach to robust control for linear plants with structured uncertainty as well as for linear parameter-varying (LPV) plants (where the controller has on-line access to the varying plant parameters) is through…
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…
For systems with uncertain linear models, bounded additive disturbances and state and control constraints, a robust model predictive control algorithm incorporating online model adaptation is proposed. Sets of model parameters are…
The takeoff point of this paper is to generalize the existing stock trading results for a class of affine feedback controller to include consideration of a stop-loss order. Using the geometric Brownian motion as the underlying stock price…
A novel method of exponentially stable adaptive control to compensate for matched parametric uncertainty under a mild condition of semi-persistent excitation (s-PE) of a regressor with piecewise-constant rank and nullspace is proposed. It…
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current…
Stock markets exhibit regime-dependent behavior where prediction models optimized for stable conditions often fail during volatile periods. Existing approaches typically treat all market states uniformly or require manual regime labeling,…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
This paper presents a new robust data-driven predictive control scheme for unknown linear time-invariant systems by using input-state-output or input-output data based on whether the state is measurable. To remove the need for the…
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal point of this paper is to address the…