Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review
Application of Scenario Approach to Optimal Choice of Feedback Coefficients in Trading Strategy Using PI-Controller. / Kornivetc, A.; Granichin, O.
PROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT. ed. / J Xu; S Nickel; VC Machado; A Hajiyev. Springer Nature, 2015. p. 991-998 (Advances in Intelligent Systems and Computing; Vol. 362).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review
}
TY - GEN
T1 - Application of Scenario Approach to Optimal Choice of Feedback Coefficients in Trading Strategy Using PI-Controller
AU - Kornivetc, A.
AU - Granichin, O.
PY - 2015
Y1 - 2015
N2 - In a number of recent papers, new approaches devoted to financial mathematics in sphere of stock exchange were discovered. The most recent one considers using a PI Controller. The main point here is that under idealized market conditions, with non-trivial Geometric Brownian Motion, a combination of as static as dynamic linear feedbacks leads to implementation of "robust positive expectation property". The positive expected value does not guaranteed a profit; however, it showed good results in simulations. Considering such theory, it is necessary to analyze which new features will bring introduction of a probabilistic basis. When we talk about probability, especially in such spheres as stock exchange, we cannot ignore the word "compromise". For this purpose, in this article we are going to consider the realization of "compromise" through the scenario approach. This approach was already applied to the portfolio theory. Portfolio selection was considered as the result of minimax optimization of function constructed basing on previous data-scenarios. These approaches were chosen by author with purpose for its further connection. Thus, in this article the problem is formulated and scenario approach is considered as effectively choice of feedbacks coefficients of trading strategy.
AB - In a number of recent papers, new approaches devoted to financial mathematics in sphere of stock exchange were discovered. The most recent one considers using a PI Controller. The main point here is that under idealized market conditions, with non-trivial Geometric Brownian Motion, a combination of as static as dynamic linear feedbacks leads to implementation of "robust positive expectation property". The positive expected value does not guaranteed a profit; however, it showed good results in simulations. Considering such theory, it is necessary to analyze which new features will bring introduction of a probabilistic basis. When we talk about probability, especially in such spheres as stock exchange, we cannot ignore the word "compromise". For this purpose, in this article we are going to consider the realization of "compromise" through the scenario approach. This approach was already applied to the portfolio theory. Portfolio selection was considered as the result of minimax optimization of function constructed basing on previous data-scenarios. These approaches were chosen by author with purpose for its further connection. Thus, in this article the problem is formulated and scenario approach is considered as effectively choice of feedbacks coefficients of trading strategy.
KW - Scenario approach
KW - Stock exchange
KW - Adaptive strategy
KW - Feedback
KW - PI-controller
U2 - 10.1007/978-3-662-47241-5_83
DO - 10.1007/978-3-662-47241-5_83
M3 - статья в сборнике материалов конференции
SN - 9783662472408
T3 - Advances in Intelligent Systems and Computing
SP - 991
EP - 998
BT - PROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT
A2 - Xu, J
A2 - Nickel, S
A2 - Machado, VC
A2 - Hajiyev, A
PB - Springer Nature
Y2 - 21 July 2015 through 23 July 2015
ER -
ID: 3943538