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A generalized framework for simultaneous long-short feedback trading

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Show simple item record O'Brien, Joseph D. Burke, Mark E. Burke, Kevin 2020-08-11T10:25:14Z 2020-08-11T10:25:14Z 2020
dc.description peer-reviewed en_US
dc.description.abstract —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 to this new strategy as Generalized SLS (GSLS). Furthermore, we investigate the conditions under which positive gain can be assured within the GSLS setup for both deterministic stock price evolution and geometric Brownian motion. In contrast to existing literature in this area (which places little emphasis on the practical application of SLS strategies), we suggest optimization procedures for selecting the control parameters based on historical data, and we extensively test these procedures across a large number of real stock price trajectories (495 in total). We find that the implementation of such optimization procedures greatly improves the performance compared with fixing control parameters, and, indeed, the GSLS strategy outperforms the simpler SLS strategy in general. en_US
dc.language.iso eng en_US
dc.publisher IEEE Computer Society en_US
dc.relation 16IA4470 en_US
dc.relation.ispartofseries IEEE Transactions on Automatic Control;
dc.rights © 2020 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. en_US
dc.subject feedback-based stock trading en_US
dc.subject parameter optimization en_US
dc.subject simultaneous long-short strategy en_US
dc.subject S&P500 en_US
dc.title A generalized framework for simultaneous long-short feedback trading en_US
dc.type info:eu-repo/semantics/article en_US
dc.type.supercollection all_ul_research en_US
dc.type.supercollection ul_published_reviewed en_US
dc.identifier.doi 10.1109/TAC.2020.3011914
dc.contributor.sponsor SFI en_US
dc.relation.projectid 16/IA/4470 en_US
dc.rights.accessrights info:eu-repo/semantics/openAccess en_US

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