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DCL Lecture Series: On Stock Trading Research: What Control by Professor B. Ross Barmish

Speaker Professor B. Ross Barmish, University of Wisconsin-Madison College of Engineering
Date Oct 30, 2013
Time 3:00 pm - 4:00 pm  
Location 141 CSL
Sponsor Decision and Control Laboratory, Coordinated Science Laboratory
Contact Angie Ellis
Phone 217/300-1910
Event type seminar
Views 3195
Originating Calendar CSL Decision and Control Group

Decision and Control Lecture Series

Decision and Control Laboratory, Coordinated Science Laboratory

On Stock Trading Research: What Control

Theory Can Bring to the Table

B. Ross Barmish

Professor, Electrical and Computer Engineering

University of Wisconsin, Madison

 Wednesday, October 30, 2013    

3:00 p.m. to 4:00 p.m.

141 CSL

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Abstract

In this talk, I will describe some open problems in the world of stock trading which are ideally suited for researchers who are well versed in control theory. These problems fall under the umbrella of “technical analysis” and involve using feedback control theory for buying and selling stock in a so-called model-free context. That is, a model for the stock price is neither assumed nor identified. To date, in the finance literature, the case for “efficacy” of such stock-trading strategies is based on statistics and empirical back-testing using historical data. In our new framework, instead of drawing conclusions based on statistical evidence from the past, our control-theoretic point of view leads to robust certification theorems describing various aspects of performance. To illustrate how such a formal theory can be developed, I will describe results obtained to date on trend following, one of the most well-known technical analysis strategies in use. Finally, it should be noted that the main point of this talk is not to demonstrate that control-theoretic considerations lead to new “market beating” algorithms. It is to argue that strategies which have heretofore been analyzed via statistical processing of empirical data can actually be studied in a formal theoretical 

PLEASE JOIN US FOR COOKIES AND COFFEE AT 2:30PM BEFORE THE SEMINAR IN ROOM 154 COORDINATED SCIENCE LABORATORY

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