Simultaneously long short trading in discrete and continuous time-Reference-Cited by-同舟云学术

Simultaneously long short trading in discrete and continuous time

Published:2017-01 Issue: Volume:99 Page:85-89
ISSN:0167-6911
Container-title:Systems & Control Letters
language:en
Short-container-title:Systems & Control Letters

Author:

Baumann Michael Heinrich,Grüne Lars

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Mechanical Engineering,General Computer Science,Control and Systems Engineering

Reference16 articles.

1. On performance limits of feedback control-based stock trading strategies;Barmish,2011

2. On arbitrage possibilities via linear feedback in an idealized brownian motion stock market;Barmish,2011

3. On a new paradigm for stock trading via a model-free feedback controller;Barmish;IEEE Trans. Autom. Control,2016

4. On stock trading via feedback control when underlying stock returns are discontinuous;Baumann;IEEE Trans. Autom. Control,2016

5. M.H. Baumann, L. Grüne, Positive expected feedback trading gain for all essentially linearly representable prices, in: XVII Workshop on Quantitative Finance, Pisa, Italy, 2016. URL: https://epub.uni-bayreuth.de/2519/

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