On stock market trading and portfolio optimization: A control systems perspective (T-2)

The purpose of this one-day workshop is to explain how control theoretic tools and associated mathematical concepts can be used in stock and option trading. While introducing the requisite mathematical tools, the speakers will also provide a number of case studies to demonstrate application of various trading algorithms, portfolio balancing techniques and the use of both technical and fundamental analysis. The topic of back-testing of candidate trading strategies will also be discussed and we will describe and demonstrate various simulation codes. Finally, the workshop will include formulation of a number of new and exciting research problems for the control field. A number of trading concepts will be explained in the context of a basic feedback loop with the control corresponding to modulation of the amount invested as a function of time. A state space setting will be used and both stochastic and deterministic models will be considered. We will pose new research problems that are aimed at both certification of robust performance and portfolio optimization.