On stock trading using a controller with delay: The Robust Positive Expectation Property
This paper is part of a new line of research involving the use of a model free controller to trade stock. The main result is a discrete time version of the so called Robust Positive Expectation Theorem which includes delay in the controller. To date, no results in the literature are available for this delay case. Motivated by robustness considerations and consistent with existing work, neither modelling nor identification of the stock price dynamics is involved. The time varying investment level is generated using a "hard wired" feedback controller which processes cumulative gains and losses. While this paper addresses discrete time, it is noted that the results also apply to high frequency trading since the discretization interval Dt is allowed to be arbitrarily small.
2016 IEEE 55th Conference on Decision and Control (CDC)