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 -