On Robustness of Double Linear Trading With Transaction Costs
Author:
Affiliation:
1. Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan
Funder
Ministry of Science and Technology (MOST), Taiwan
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Subject
Control and Optimization,Control and Systems Engineering
Link
http://xplorestaging.ieee.org/ielx7/7782633/9828546/09933788.pdf?arnumber=9933788
Reference30 articles.
1. Pairs trading under transaction costs using model predictive control
2. Positive expected feedback trading gain for all essentially linearly representable prices;baumann;Proc Asian Control Conf (ASCC),2019
3. A Generalization of Simultaneous Long–Short Stock Trading to PI Controllers
4. On stock trading using a controller with delay: The Robust Positive Expectation Property
5. On Simultaneous Long-Short Stock Trading Controllers with Cross-Coupling
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. On Robustness of Double Linear Policy with Time-Varying Weights;2023 62nd IEEE Conference on Decision and Control (CDC);2023-12-13
2. On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers;European Journal of Control;2023-11
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