A drawdown formula for stock trading via linear feedback in a market governed by Brownian Motion.
Shirzad MalekpourB. Ross BarmishPublished in: ECC (2013)
Keyphrases
- stock trading
- brownian motion
- financial data
- stock market
- stock exchange
- closed form solutions
- stochastic process
- stock data
- differential equations
- diffusion process
- optimal control
- stochastic processes
- stock price
- heavy traffic
- poisson process
- vector valued
- closed form
- financial time series
- queue length
- financial markets
- multiscale
- supply chain
- semi supervised