On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market.
B. Ross BarmishJames A. PrimbsPublished in: CDC/ECC (2011)
Keyphrases
- stock market
- stock price
- brownian motion
- financial markets
- closed form solutions
- short term
- stochastic process
- stock exchange
- optimal control
- diffusion process
- differential equations
- poisson process
- financial data
- historical data
- stock index futures
- stochastic processes
- news articles
- non stationary
- portfolio optimization
- heavy traffic
- dynamic programming
- queue length
- long term
- exchange rate
- vector valued
- inventory level
- closed form
- special case
- garch model