A Generalized Framework for Simultaneous Long-Short Feedback Trading
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.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Tracking fast and slow changes in synaptic weights from simultaneously observed pre- and postsynaptic spiking
Synapses change on multiple timescales, ranging from milliseconds to minutes, due to a combination of both short- and long-term plasticity. Here we develop an extension of the common Generalized Linear Model to infer bot…
MultiScale Contextual Bandits for Long Term Objectives
The feedback that AI systems (e.g., recommender systems, chatbots) collect from user interactions is a crucial source of training data. While short-term feedback (e.g., clicks, engagement) is widely used for training, th…
Multi-Armed BanditsRecommendation SystemsText GenerationA Control-Theoretic Approach to Dynamic Payment Routing for Success Rate Optimization
This paper introduces a control-theoretic framework for dynamic payment routing, implemented within JUSPAY's Payment Orchestrator to maximize transaction success rate. The routing system is modeled as a closed-loop feedb…
Reinforcement LearningA Generalization of the Robust Positive Expectation Theorem for Stock Trading via Feedback Control
The starting point of this paper is the so-called Robust Positive Expectation (RPE) Theorem, a result which appears in literature in the context of Simultaneous Long-Short stock trading. This theorem states that using a …
Design and Evaluation of Whole-Page Experience Optimization for E-commerce Search
E-commerce Search Results Pages (SRPs) are evolving from linear lists to complex, non-linear layouts, rendering traditional position-biased ranking models insufficient. Moreover, existing optimization frameworks typicall…