On Drawdown-Modulated Feedback Control in Stock Trading

Conference paper

Open access

宗翰謝 and B. Ross Barmish

IFAC-PapersOnLine (Proceedings of the IFAC World Congress), Vol.50(1), pp.952-958

07/2017

Abstract

Stochastic Systems;Financial Engineering;Risk management;Drawdown Control;Robustness

url

https://doi.org/10.1016/j.ifacol.2017.08.167View

Published (Version of record) Open

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Title: On Drawdown-Modulated Feedback Control in Stock Trading
Creators - without role: 宗翰謝 - University of Wisconsin–Madison
B. Ross Barmish - University of Wisconsin–Madison
Publication Details: IFAC-PapersOnLine (Proceedings of the IFAC World Congress), Vol.50(1), pp.952-958
Identifiers: 9957766837606774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Conference paper