Please wait, while we are loading the content...
Please wait, while we are loading the content...
| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Barmish, B. Ross |
| Copyright Year | 2008 |
| Description | Author affiliation: University of Wisconsin, USA (Barmish, B. Ross) |
| Abstract | The objective of this semi-plenary is to describe a new model for stock and option trading based on control theoretic considerations. The controller is taken to be the amount invested over time and we consider various measures of performance such as trading profit, draw-down and value at risk. In contrast to classical approaches to trading which are based on a stochastic Wiener process description for the evolution of the stock price, our new paradigm involves a rather standard low order state space model and control is implemented via a classical static output feedback. In addition to simplicity of this new formulation, another factor motivating this new line of research is the following: Approaches to trading in the literature, based on the use of a Wiener process for stock price prediction, typically involve the questionable assumption that historical volatility can be used “going forward.” Said another way, in the case of most past literature, price volatility is assumed to be time-invariant. In recognition of the time-varying “character” of volatility, our new approach does not include a stochastic model for the evolution of stock price. Instead, we simply treat the stock price as an external uncontrolled input belonging to a rather unstructured family P. Given the setting above, we seek to provide various robust performance certifications with respect to the family P. For example, an important goal is to robustly guarantee “excess returns” which exceed some standard benchmark such as buy-and-hold. Finally, the obvious should be noted: Robust performance guarantees involving the model do not imply that the same performance will result when a real time series for stock price is substituted for the price. Therefore, an integral part of this line of research involves extensive back-testing using data derived from real financial markets. |
| Starting Page | 13 |
| Ending Page | 14 |
| File Size | 813411 |
| Page Count | 2 |
| File Format | |
| ISBN | 9781424431236 |
| ISSN | 01912216 |
| DOI | 10.1109/CDC.2008.4738571 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2008-12-09 |
| Publisher Place | Mexico |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Stock markets Control systems Automatic control Educational institutions Game theory Distributed control Large-scale systems Books Intelligent transportation systems Aerodynamics |
| Content Type | Text |
| Resource Type | Article |
National Digital Library of India (NDLI) is a virtual repository of learning resources which is not just a repository with search/browse facilities but provides a host of services for the learner community. It is sponsored and mentored by Ministry of Education, Government of India, through its National Mission on Education through Information and Communication Technology (NMEICT). Filtered and federated searching is employed to facilitate focused searching so that learners can find the right resource with least effort and in minimum time. NDLI provides user group-specific services such as Examination Preparatory for School and College students and job aspirants. Services for Researchers and general learners are also provided. NDLI is designed to hold content of any language and provides interface support for 10 most widely used Indian languages. It is built to provide support for all academic levels including researchers and life-long learners, all disciplines, all popular forms of access devices and differently-abled learners. It is designed to enable people to learn and prepare from best practices from all over the world and to facilitate researchers to perform inter-linked exploration from multiple sources. It is developed, operated and maintained from Indian Institute of Technology Kharagpur.
Learn more about this project from here.
NDLI is a conglomeration of freely available or institutionally contributed or donated or publisher managed contents. Almost all these contents are hosted and accessed from respective sources. The responsibility for authenticity, relevance, completeness, accuracy, reliability and suitability of these contents rests with the respective organization and NDLI has no responsibility or liability for these. Every effort is made to keep the NDLI portal up and running smoothly unless there are some unavoidable technical issues.
Ministry of Education, through its National Mission on Education through Information and Communication Technology (NMEICT), has sponsored and funded the National Digital Library of India (NDLI) project.
| Sl. | Authority | Responsibilities | Communication Details |
|---|---|---|---|
| 1 | Ministry of Education (GoI), Department of Higher Education |
Sanctioning Authority | https://www.education.gov.in/ict-initiatives |
| 2 | Indian Institute of Technology Kharagpur | Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project | https://www.iitkgp.ac.in |
| 3 | National Digital Library of India Office, Indian Institute of Technology Kharagpur | The administrative and infrastructural headquarters of the project | Dr. B. Sutradhar bsutra@ndl.gov.in |
| 4 | Project PI / Joint PI | Principal Investigator and Joint Principal Investigators of the project |
Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon |
| 5 | Website/Portal (Helpdesk) | Queries regarding NDLI and its services | support@ndl.gov.in |
| 6 | Contents and Copyright Issues | Queries related to content curation and copyright issues | content@ndl.gov.in |
| 7 | National Digital Library of India Club (NDLI Club) | Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach | clubsupport@ndl.gov.in |
| 8 | Digital Preservation Centre (DPC) | Assistance with digitizing and archiving copyright-free printed books | dpc@ndl.gov.in |
| 9 | IDR Setup or Support | Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops | idr@ndl.gov.in |
|
Loading...
|