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 |
Arquivos deste item
| Arquivos | Tamanho | Formato | Visualização |
|---|---|---|---|
| modelo1_ifac.pdf | 359.6Kb | application/pdf | Visualizar/ |