Systems Seminar
On Trading of Equities: A New Paradigm for Robusticians
Prof. B. R. Barmish
ECE Dept.
Abstract
In this seminar we describe a new paradigm for the trading of equities.
Our formulation includes a controller which modulates the amount invested
over time with a saturation corresponding to a limit on the value at risk.
With the gain or loss on the trade being the quantity of interest, we
formulate and solve problems of robust performance against a family of
uncertain price inputs. The talk also includes an overview of the related
technical analysis literature and simulation results with comparisons
to standard benchmarks such as buy-and-hold.
Time and Place: Wed., Oct. 31, at 3:30 pm in 4610.
SYSTEMS SEMINAR WEB PAGE:
http://homepages.cae.wisc.edu/~gubner/seminar/schedule.html