James A. Primbs

Sean Warnick

IEEE Trans. Autom. Control., 2022

2018

A Generalization of Simultaneous Long-Short Stock Trading to PI Controllers.

[BibT_eX]

[DOI]

Shirzad Malekpour

IEEE Trans. Autom. Control., 2018

2016

On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2016

On NASDAQ Order Book dynamics: New problems for the control field.

[BibT_eX]

[DOI]

Proceedings of the 2016 American Control Conference, 2016

2015

Stock Trading via Feedback Control.

[BibT_eX]

[DOI]

Proceedings of the Encyclopedia of Systems and Control, 2015

2013

On stock trading using a PI controller in an idealized market: The robust positive expectation property.

[BibT_eX]

[DOI]

Shirzad Malekpour

Proceedings of the 52nd IEEE Conference on Decision and Control, 2013

On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session.

[BibT_eX]

[DOI]

Proceedings of the 52nd IEEE Conference on Decision and Control, 2013

2012

A Riccati Based Interior Point Algorithm for the Computation in Constrained Stochastic MPC.

[BibT_eX]

[DOI]

Minyong Shin

IEEE Trans. Autom. Control., 2012

Model predictive control for optimal portfolios with cointegrated pairs of stocks.

[BibT_eX]

[DOI]

Proceedings of the 51th IEEE Conference on Decision and Control, 2012

ACC 2012 tutorial session: An introduction to hedged-like stock trading from a control theoretic point of view.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2012

On market-neutral stock trading arbitrage via linear feedback.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2012

2011

On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market.

[BibT_eX]

[DOI]

Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference, 2011

ACC 2011 tutorial session: An introduction to option trading from a control perspective.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2011

2010

Constrained stochastic MPC under multiplicative noise for financial applications.

[BibT_eX]

[DOI]

Minyong Shin

Joo Hyung Lee

Proceedings of the 49th IEEE Conference on Decision and Control, 2010

A fast algorithm for stochastic model predictive control with probabilistic constraints.

[BibT_eX]

[DOI]

Minyong Shin

Proceedings of the American Control Conference, 2010

LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2010

2009

Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise.

[BibT_eX]

[DOI]

Chang Hwan Sung

IEEE Trans. Autom. Control., 2009

Dynamic hedging of basket options under proportional transaction costs using receding horizon control.

[BibT_eX]

[DOI]

Int. J. Control, 2009

2008

Optimization based option pricing bounds via piecewise polynomial super- and sub-martingales.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2008

Optimal pairs trading: A stochastic control approach.

[BibT_eX]

[DOI]

Supakorn Mudchanatongsuk

Wilfred Wong

Proceedings of the American Control Conference, 2008

2007

A soft constraint approach to stochastic receding horizon control.

[BibT_eX]

[DOI]

Proceedings of the 46th IEEE Conference on Decision and Control, 2007

Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2007

Portfolio Optimization Applications of Stochastic Receding Horizon Control.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2007

2006

Option valuation and hedging using multinomial lattices with cumulants.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2006

Trader behavior and hedging feedback in the stock pinning phenomena.

[BibT_eX]

[DOI]

Muruhan Rathinam

Proceedings of the American Control Conference, 2006

Option pricing bounds via semidefinite programming.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2006

2003

Mean square optimal hedges using higher order moments.

[BibT_eX]

[DOI]

Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003

A moment based analysis of hedging under discrete trading.

[BibT_eX]

[DOI]

Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003

2001

Kuhn-Tucker-based stability conditions for systems with saturation.

[BibT_eX]

[DOI]

Monica Giannelli

IEEE Trans. Autom. Control., 2001

Comparison of nonlinear control design techniques on a model of the Caltech ducted fan.

[BibT_eX]

[DOI]

Autom., 2001

The analysis of optimization based controllers.

[BibT_eX]

[DOI]

Autom., 2001

Construction of Multinomial Lattice Random Walks for Optimal Hedges.

[BibT_eX]

[DOI]

Proceedings of the Computational Science - ICCS 2001, 2001

Risk estimates for dynamic hedging using convex probability bounds.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2001

Unconstrained receding horizon control with no terminal cost.

[BibT_eX]

[DOI]

Ali Jadbabaie

John Hauser

Proceedings of the American Control Conference, 2001

2000

A receding horizon generalization of pointwise min-norm controllers.

[BibT_eX]

[DOI]

John C. Doyle

IEEE Trans. Autom. Control., 2000

A framework for robustness analysis of constrained finite receding horizon control.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2000

A new approach to stability analysis for constrained finite receding horizon control without end constraints.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2000

Feasibility and stability of constrained finite receding horizon control.

[BibT_eX]

[DOI]

Autom., 2000

Distribution-based option pricing on lattice asset dynamics models.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2000

An analysis technique for optimization based control applied to quasi-LPV plants.

[BibT_eX]

[DOI]

Monica Giannelli