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Browsing Centres Science and Engineering by Author "Burke, Mark E."

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Browsing Centres Science and Engineering by Author "Burke, Mark E."

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  • O'Brien, Joseph D.; Burke, Kevin; Burke, Mark E.; Barmish, Ross B. (IEEE Computer Society, 2020)
    For sequential betting games, Kelly’s theory, aimed at maximization of the logarithmic growth of one’s account value, involves optimization of the so-called betting fraction K. In this Letter, we extend the classical ...
  • 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 ...

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