Portfolio modeling for an algorithmic trading based on control theory
Cargando...
Archivos
Fecha
2018
Autores
Ruiz-Cruz, Riemann
Título de la revista
ISSN de la revista
Título del volumen
Editor
Elsevier
Resumen
Descripción
In the present paper, a mathematical model for a portfolio is proposed. This model is valid for operations of buying and selling shares of an asset in constant periods of time, additionally, it has a states space form which can be used to design a control law using control theory. The control law designed can be interpreted as a trading signal to reach a portfolio value desired. The mathematical model and control law proposed are validated by means simulations using real daily prices of Mexican stock exchange.
Palabras clave
Control of Nonlinear, Trading Algorithm, Portfolio Modeling
Citación
Ruiz-Cruz, Riemann (2018). Portfolio modeling for an algorithmic trading based on control theory, IFAC-PapersOnLine, 51(13): 390-395. https://doi.org/10.1016/j.ifacol.2018.07.310.