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LMAG : “On Stock Trading Algorithm Research Based on Adaptive Feedback Control Loops”

January 3, 2018 @ 11:30 am EST

This talk will provide an overview of my research on the development of new stock-trading algorithms. The most salient feature of the work is that no model of any sort is used for the underlying stock-price dynamics. Instead, the size of the time-varying stock position is determined using some simple ideas involving the adaptive power of feedback control loops. This approach is said to be “reactive” rather than predictive and amounts to assigning high priority to sound money management. Our emphasis in this talk will be more on the application than describe a number of software implementations which are used for back-testing simulations using historical data with attention paid to practical considerations such as transaction costs, leverage and margin.

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Details

Date:
January 3, 2018
Time:
11:30 am EST
Website:
https://meetings.vtools.ieee.org/meeting_view/list_meeting/48755

Organizer

Tom Kaminski
Email
tjkaminski49@gmail.com

Venue

Sequoya Library Branch, Room B
4340 Tokay Blvd
Madison, WI 53711 United States
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