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On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers

Title data

Baumann, Michael Heinrich:
On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers.
In: European Journal of Control. (2023) . - 100851.
ISSN 1435-5671

Project information

Project title:
Project's official title
Project's id
Stochastische Optimale Steuerung und MPC - Dissipativität, Risiko und Regelgüte

Project financing: Deutsche Forschungsgemeinschaft

Abstract in another language

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 robust positive expectation property, which states that under specific conditions like, e.g., continuous time trading and survival the SLS controller achieves for almost all (a.a.) parameter settings, positive expected gains not only for several price models but also in mostly model-free frameworks. In finance, topics like optimal pairs trading are of interest for research and implementation. In the intersection of pairs trading and SLS so-called cross-coupled SLS (CC-SLS) rules are analyzed. Typically the CC-SLS rule is analyzed either empirically or with specific model assumptions. In the work at hand, under specific assumptions we do not only show that a new type of cross-coupled SLS (CC-SLS) rule achieves the robust positive expectation property but also that this CC-SLS is in expectation for a.a. parameter settings superior to the standard SLS rule used stock by stock. Furthermore, we perform simulations to illustrate the controllers’ behavior.

Further data

Item Type: Article in a journal
Refereed: Yes
Additional notes: "Special Issue [...] that [...] include(s) the very best papers accepted for presentation at the 2023 European Control Conference in Bucharest, Romania."
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 26 Jul 2023 06:25
Last Modified: 26 Jul 2023 06:25