On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers
MH Baumann - European Journal of Control, 2023 - Elsevier
In the last decades, feedback trading and especially simultaneously long-short (SLS) trading
attracted a lot of attention in the control community. The main reason for this is the so-called …
attracted a lot of attention in the control community. The main reason for this is the so-called …
On Robustness of Double Linear Policy with Time-Varying Weights
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 …
weights instead of constant weights and study a certain robustness property, called robust …
Robust Trading in a Generalized Lattice Market
CH Hsieh, XY Wang - arXiv preprint arXiv:2310.11023, 2023 - arxiv.org
This paper introduces a novel robust trading paradigm, called\textit {multi-double linear
policies}, situated within a\textit {generalized} lattice market. Distinctively, our framework …
policies}, situated within a\textit {generalized} lattice market. Distinctively, our framework …
On Data-Driven Drawdown Control with Restart Mechanism in Trading
CH Hsieh - IFAC-PapersOnLine, 2023 - Elsevier
This paper extends the existing drawdown modulation control policy to include a novel
restart mechanism for trading. It is known that the drawdown modulation policy guarantees …
restart mechanism for trading. It is known that the drawdown modulation policy guarantees …