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Browsing by Subject "S&P500"

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Browsing by Subject "S&P500"

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  • O'Brien, Joseph D.; Burke, Mark E.; Burke, Kevin (IEEE Computer Society, 2020)
    —We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the controller; we refer ...