Application of Scenario Approach to Optimal Choice of Feedback Coefficients in Trading Strategy Using PI-Controller

A. Kornivetc, O. Granichin

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференциинаучнаярецензирование

Аннотация

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.

Язык оригиналаАнглийский
Название основной публикацииPROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT
РедакторыJ Xu, S Nickel, VC Machado, A Hajiyev
ИздательSpringer Nature
Страницы991-998
Число страниц8
ISBN (печатное издание)9783662472408
DOI
СостояниеОпубликовано - 2015
Событие9th International Conference on Management Science and Engineering Management (ICMSEM) - Karlsruhe, Германия
Продолжительность: 21 июл 201523 июл 2015

Серия публикаций

НазваниеAdvances in Intelligent Systems and Computing
ИздательSPRINGER-VERLAG BERLIN
Том362
ISSN (печатное издание)2194-5357

конференция

конференция9th International Conference on Management Science and Engineering Management (ICMSEM)
Страна/TерриторияГермания
ГородKarlsruhe
Период21/07/1523/07/15

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