James A. Primbs

Publication Activity (10 Years)

Years Active: 2000-2022
Publications (10 Years): 4

Top Topics

Areas Of Computer Science

Feedback Control

Rapidly Evolving

Top Venues

IEEE Trans. Autom. Control.

Publications

B. Ross Barmish, James A. Primbs, Sean Warnick
On Feedforward Stock Trading Control Using a New Transaction Level Price Trend Model. IEEE Trans. Autom. Control. 67 (2) (2022)
Shirzad Malekpour, James A. Primbs, B. Ross Barmish
A Generalization of Simultaneous Long-Short Stock Trading to PI Controllers. IEEE Trans. Autom. Control. 63 (10) (2018)
B. Ross Barmish, James A. Primbs
On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller. IEEE Trans. Autom. Control. 61 (3) (2016)
B. Ross Barmish, Scott Condie, Donatello Materassi, James A. Primbs, Sean Warnick
On NASDAQ Order Book dynamics: New problems for the control field. ACC (2016)
B. Ross Barmish, James A. Primbs, Shirzad Malekpour, Sean Warnick
On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session. CDC (2013)
Shirzad Malekpour, James A. Primbs, B. Ross Barmish
On stock trading using a PI controller in an idealized market: The robust positive expectation property. CDC (2013)
James A. Primbs, B. Ross Barmish
ACC 2012 tutorial session: An introduction to hedged-like stock trading from a control theoretic point of view. ACC (2012)
Yuji Yamada, James A. Primbs
Model predictive control for optimal portfolios with cointegrated pairs of stocks. CDC (2012)
B. Ross Barmish, James A. Primbs
On market-neutral stock trading arbitrage via linear feedback. ACC (2012)
Minyong Shin, James A. Primbs
A Riccati Based Interior Point Algorithm for the Computation in Constrained Stochastic MPC. IEEE Trans. Autom. Control. 57 (3) (2012)
James A. Primbs, B. Ross Barmish
ACC 2011 tutorial session: An introduction to option trading from a control perspective. ACC (2011)
B. Ross Barmish, James A. Primbs
On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market. CDC/ECC (2011)
Minyong Shin, James A. Primbs
A fast algorithm for stochastic model predictive control with probabilistic constraints. ACC (2010)
James A. Primbs
LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs. ACC (2010)
Minyong Shin, Joo Hyung Lee, James A. Primbs
Constrained stochastic MPC under multiplicative noise for financial applications. CDC (2010)
James A. Primbs, Chang Hwan Sung
Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise. IEEE Trans. Autom. Control. 54 (2) (2009)
James A. Primbs
Dynamic hedging of basket options under proportional transaction costs using receding horizon control. Int. J. Control 82 (10) (2009)
Supakorn Mudchanatongsuk, James A. Primbs, Wilfred Wong
Optimal pairs trading: A stochastic control approach. ACC (2008)
James A. Primbs
Optimization based option pricing bounds via piecewise polynomial super- and sub-martingales. ACC (2008)
James A. Primbs
A soft constraint approach to stochastic receding horizon control. CDC (2007)
James A. Primbs
Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise. ACC (2007)
James A. Primbs
Portfolio Optimization Applications of Stochastic Receding Horizon Control. ACC (2007)
Yuji Yamada, James A. Primbs
Option valuation and hedging using multinomial lattices with cumulants. ACC (2006)
James A. Primbs, Muruhan Rathinam
Trader behavior and hedging feedback in the stock pinning phenomena. ACC (2006)
James A. Primbs
Option pricing bounds via semidefinite programming. ACC (2006)
James A. Primbs, Yuji Yamada
A moment based analysis of hedging under discrete trading. CIFEr (2003)
Yuji Yamada, James A. Primbs
Mean square optimal hedges using higher order moments. CIFEr (2003)
Yuji Yamada, James A. Primbs
Construction of Multinomial Lattice Random Walks for Optimal Hedges. International Conference on Computational Science (1) (2001)
Yuji Yamada, James A. Primbs
Risk estimates for dynamic hedging using convex probability bounds. ACC (2001)
James A. Primbs
The analysis of optimization based controllers. Autom. 37 (6) (2001)
James A. Primbs, Vesna Nevistic
A new approach to stability analysis for constrained finite receding horizon control without end constraints. IEEE Trans. Autom. Control. 45 (8) (2000)
James A. Primbs, Vesna Nevistic
Feasibility and stability of constrained finite receding horizon control. Autom. 36 (7) (2000)
Monica Giannelli, James A. Primbs
An analysis technique for optimization based control applied to quasi-LPV plants. ACC (2000)
James A. Primbs, Vesna Nevistic, John C. Doyle
A receding horizon generalization of pointwise min-norm controllers. IEEE Trans. Autom. Control. 45 (5) (2000)
James A. Primbs, Vesna Nevistic
A framework for robustness analysis of constrained finite receding horizon control. IEEE Trans. Autom. Control. 45 (10) (2000)
Yuji Yamada, James A. Primbs
Distribution-based option pricing on lattice asset dynamics models. ACC (2000)