Type

Journal Article

Authors

Kevin Burke
Mark E. Burke
Joseph D. O'Brien

Subjects

Business

Topics
brownian motion historical data literature s p500 simultaneous long short strategy trading strategy feedback based stock trading parameter optimization

A generalized framework for simultaneous long-short feedback trading (2020)

Abstract —We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the controller; we refer to this new strategy as Generalized SLS (GSLS). Furthermore, we investigate the conditions under which positive gain can be assured within the GSLS setup for both deterministic stock price evolution and geometric Brownian motion. In contrast to existing literature in this area (which places little emphasis on the practical application of SLS strategies), we suggest optimization procedures for selecting the control parameters based on historical data, and we extensively test these procedures across a large number of real stock price trajectories (495 in total). We find that the implementation of such optimization procedures greatly improves the performance compared with fixing control parameters, and, indeed, the GSLS strategy outperforms the simpler SLS strategy in general.
Collections Ireland -> University of Limerick -> MACSI - Mathematics Application Consortium for Science & Industry
Ireland -> University of Limerick -> Centres Science and Engineering
Ireland -> University of Limerick -> Faculty of Science and Engineering

Full list of authors on original publication

Kevin Burke, Mark E. Burke, Joseph D. O'Brien

Experts in our system

1
Kevin Burke
University of Limerick
Total Publications: 12
 
2
Joseph D. O'Brien
University of Limerick
Total Publications: 4