Portfolio modeling for an algorithmic trading based on control theory

dc.contributor.author	Ruiz-Cruz, Riemann
dc.date.accessioned	2019-06-11T19:35:58Z
dc.date.accessioned	2023-03-21T18:09:15Z
dc.date.available	2019-06-11T19:35:58Z
dc.date.available	2023-03-21T18:09:15Z
dc.date.issued	2018
dc.identifier.citation	Ruiz-Cruz, Riemann (2018). Portfolio modeling for an algorithmic trading based on control theory, IFAC-PapersOnLine, 51(13): 390-395. https://doi.org/10.1016/j.ifacol.2018.07.310.	es
dc.identifier.issn	2405-8963
dc.identifier.uri	https://hdl.handle.net/20.500.12032/74204
dc.description	In the present paper, a mathematical model for a portfolio is proposed. This model is valid for operations of buying and selling shares of an asset in constant periods of time, additionally, it has a states space form which can be used to design a control law using control theory. The control law designed can be interpreted as a trading signal to reach a portfolio value desired. The mathematical model and control law proposed are validated by means simulations using real daily prices of Mexican stock exchange.	es
dc.language.iso	eng	es
dc.publisher	Elsevier	es
dc.rights.uri	http://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdf	es
dc.subject	Control of Nonlinear	es
dc.subject	Trading Algorithm	es
dc.subject	Portfolio Modeling	es
dc.title	Portfolio modeling for an algorithmic trading based on control theory	es
dc.type	info:eu-repo/semantics/article	es

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