On Robustness of Adaptive Feedback Control for Stock Trading With Time-Varying Price Dynamics

• 成果类型: Article
• 署名作者: Chen, Xiangyi; Zhu, Feng
• 署名单位: Zhejiang University of Science & Technology; Nankai University; Nankai University
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2024.3502506
• 发表日期: 2025
• 页码: 3303-3307
• 关键词: investment; Feedback control; market research; Robustness; control theory; Adaptive control; STANDARDS; Differential equations; DELAYS; Tuning; Financial engineering; robust adaptive control; Stochastic systems; Time-varying systems

摘要

We present an adaptive form of the simultaneous long-short (SLS) trading strategy, which employs feedback control principles for stock trading. Prior work established the robust positive expectation (RPE) theorem for the SLS strategy, asserting positive expectations of trading profits for stock prices following geometric Brownian motions with unknown parameters. We extend the RPE property to adaptive SLS strategies, which guarantee strictly positive expected profits even in round-trip price scenarios where traditional SLS strategies fail.