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1

Pairs trading under transaction costs using model predictive control

Primbs, James A., Yamada, Yuji

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 935 KB

english, 2018

2

A Penalty Cost Approach to Strategic Asset Allocation with Illiquid Asset Classes

Hayes, Mark, Primbs, James A., Chiquoine, Ben

Journal:

The Journal of Portfolio Management

Year:

2015

Language:

english

File:

PDF, 626 KB

english, 2015

3

A moment computation algorithm for the error in discrete dynamic hedging

James A. Primbs, Yuji Yamada

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 239 KB

english, 2006

4

A new computational tool for analysing dynamic hedging under transaction costs

Primbs, James A., Yamada, Yuji

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 188 KB

english, 2008

5

Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis

Primbs, James A., Rathinam, Muruhan, Yamada, Yuji

Journal:

Applied Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 445 KB

english, 2007

6

[IEEE 2009 American Control Conference - St. Louis, MO, USA (2009.06.10-2009.06.12)] 2009 American Control Conference - On stock market trading and portfolio optimization: A control systems perspective (T-2)

Primbs, James A., Barmish, B. Ross, Miller, Daniel E., Yuji Yamada,

Year:

2009

Language:

english

File:

PDF, 140 KB

english, 2009

7

Investment Science, Second Edition [Book review]

Primbs, James A.

Journal:

IEEE Control Systems

Year:

2014

Language:

english

File:

PDF, 892 KB

english, 2014

8

Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints

Yamada, Yuji, Primbs, James A.

Journal:

Asia-Pacific Financial Markets

Year:

2017

Language:

english

File:

PDF, 633 KB

english, 2017

9

Dynamic hedging of basket options under proportional transaction costs using receding horizon control

Primbs, James A.

Journal:

International Journal of Control

Year:

2009

Language:

english

File:

PDF, 603 KB

english, 2009

10

[IEEE 2012 IEEE 51st Annual Conference on Decision and Control (CDC) - Maui, HI, USA (2012.12.10-2012.12.13)] 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) - Model predictive control for optimal portfolios with cointegrated pairs of stocks

Yamada, Yuji, Primbs, James A.

Year:

2012

Language:

english

File:

PDF, 190 KB

english, 2012

11

[IEEE 2013 IEEE 52nd Annual Conference on Decision and Control (CDC) - Firenze (2013.12.10-2013.12.13)] 52nd IEEE Conference on Decision and Control - On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session

Barmish, B. Ross, Primbs, James A., Malekpour, Shirzad, Warnick, Sean

Year:

2013

Language:

english

File:

PDF, 168 KB

english, 2013

12

DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS

YAMADA, YUJI, PRIMBS, JAMES A.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2002

Language:

english

File:

PDF, 303 KB

english, 2002

13

[IEEE 2008 American Control Conference (ACC '08) - Seattle, WA (2008.06.11-2008.06.13)] 2008 American Control Conference - Optimal pairs trading: A stochastic control approach

Mudchanatongsuk, Supakorn, Primbs, James A., Wong, Wilfred

Year:

2008

Language:

english

File:

PDF, 196 KB

english, 2008

14

On Robustness of Simultaneous Long-Short Stock Trading Control with Time-Varying Price Dynamics

Primbs, James A., Barmish, B. Ross

Journal:

IFAC-PapersOnLine

Year:

2017

Language:

english

File:

PDF, 870 KB

english, 2017

15

[IEEE 2010 American Control Conference (ACC 2010) - Baltimore, MD (2010.6.30-2010.7.2)] Proceedings of the 2010 American Control Conference - LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs

Primbs, James A

Year:

2010

Language:

english

File:

PDF, 783 KB

english, 2010

16

Trader Behavior and its Effect on Asset Price Dynamics

Primbs, James A., Rathinam, Muruhan

Journal:

Applied Mathematical Finance

Year:

2009

Language:

english

File:

PDF, 739 KB

english, 2009

17

Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach

Meindl, Peter J., Primbs, James A.

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 205 KB

english, 2008

18

VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING

YAMADA, YUJI, PRIMBS, JAMES A.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2002

Language:

english

File:

PDF, 295 KB

english, 2002

19

[IEEE 2007 46th IEEE Conference on Decision and Control - New Orleans, LA, USA (2007.12.12-2007.12.14)] 2007 46th IEEE Conference on Decision and Control - A soft constraint approach to stochastic receding horizon control

Primbs, James A.

Year:

2007

Language:

english

File:

PDF, 332 KB

english, 2007

20

Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging

Yuji Yamada, James A. Primbs

Journal:

Asia-Pacific Financial Markets

Year:

2004

Language:

english

File:

PDF, 438 KB

english, 2004

21

[WORLD SCIENTIFIC Proceedings of the International Workshop on Finance 2011 - Doshisha University, Kyoto, Japan (3–4 August 2011)] Recent Advances in Financial Engineering 2011 - Optimal Trading with Cointegrated Pairs of Stocks

Yamada, Yuji, Primbs, James A.

Language:

english

File:

PDF, 418 KB

english

22

On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller

Barmish, B., Primbs, James

Journal:

IEEE Transactions on Automatic Control

Year:

2015

Language:

english

File:

PDF, 585 KB

english, 2015

23

[IEEE 2013 IEEE 52nd Annual Conference on Decision and Control (CDC) - Firenze (2013.12.10-2013.12.13)] 52nd IEEE Conference on Decision and Control - On stock trading using a PI controller in an idealized market: The robust positive expectation property

Malekpour, Shirzad, Primbs, James A., Barmish, B. Ross

Year:

2013

Language:

english

File:

PDF, 1.27 MB

english, 2013

24

[IEEE 2010 49th IEEE Conference on Decision and Control (CDC) - Atlanta, GA, USA (2010.12.15-2010.12.17)] 49th IEEE Conference on Decision and Control (CDC) - Constrained stochastic MPC under multiplicative noise for financial applications

Shin, Minyong, Lee, Joo Hyung, Primbs, James A.

Year:

2010

Language:

english

File:

PDF, 173 KB

english, 2010

25

A Generalization of Simultaneous Long-Short Stock Trading to PI Controllers

Malekpour, Shirzad, Primbs, James A., Barmish, B. Ross

Journal:

IEEE Transactions on Automatic Control

Year:

2018

Language:

english

File:

PDF, 384 KB

english, 2018

26

Comparison of nonlinear control designs for a ducted fan model

Yu, Jie, Jadbabaie, Ali, Primbs, James, Huang, Yun

Journal:

IFAC Proceedings Volumes

Year:

1999

Language:

english

File:

PDF, 3.77 MB

english, 1999

27

[IEEE 2007 American Control Conference - New York, NY, USA (2007.07.9-2007.07.13)] 2007 American Control Conference - Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise

Primbs, James A.

Year:

2007

Language:

english

File:

PDF, 237 KB

english, 2007

28

[IEEE 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011) - Orlando, FL, USA (2011.12.12-2011.12.15)] IEEE Conference on Decision and Control and European Control Conference - On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market

Barmish, B. Ross, Primbs, James A.

Year:

2011

Language:

english

File:

PDF, 308 KB

english, 2011

29

[IEEE 2007 American Control Conference - New York, NY, USA (2007.07.9-2007.07.13)] 2007 American Control Conference - Portfolio Optimization Applications of Stochastic Receding Horizon Control

Primbs, James A.

Year:

2007

Language:

english

File:

PDF, 239 KB

english, 2007

30

Comparison of nonlinear control design techniques on a model of the Caltech ducted fan

Jie Yu, Ali Jadbabaie, James Primbs, Yun Huang

Journal:

Year:

2001

Language:

english

File:

PDF, 155 KB

english, 2001

31

NONLINEAR OPTIMAL CONTROL: A CONTROL LYAPUNOV FUNCTION AND RECEDING HORIZON PERSPECTIVE

James A. Primbs, Vesna Nevistić, John C. Doyle

Journal:

Asian Journal of Control

Year:

1999

Language:

english

File:

PDF, 183 KB

english, 1999

32

[IEEE 2011 American Control Conference - San Francisco, CA (2011.6.29-2011.7.1)] Proceedings of the 2011 American Control Conference - ACC 2011 tutorial session: An introduction to option trading from a control perspective

Primbs, James A., Barmish, B. Ross

Year:

2011

Language:

english

File:

PDF, 157 KB

english, 2011

33

Feasibility and stability of constrained finite receding horizon control

James A. Primbs, Vesna Nevistić

Journal:

Year:

2000

Language:

english

File:

PDF, 146 KB

english, 2000

34

The analysis of optimization based controllers

James A. Primbs

Journal:

Year:

2001

Language:

english

File:

PDF, 118 KB

english, 2001

35

[IEEE 2016 American Control Conference (ACC) - Boston, MA, USA (2016.7.6-2016.7.8)] 2016 American Control Conference (ACC) - On NASDAQ Order Book dynamics: New problems for the control field

Barmish, B. Ross, Condie, Scott, Materassi, Donatello, Primbs, James A., Warnick, Sean

Year:

2016

Language:

english

File:

PDF, 97 KB

english, 2016

36

A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

James A. Primbs, Chang Hwan Sung

Journal:

Asia-Pacific Financial Markets

Year:

2008

Language:

english

File:

PDF, 477 KB

english, 2008

37

[IEEE 2008 American Control Conference (ACC '08) - Seattle, WA (2008.06.11-2008.06.13)] 2008 American Control Conference - Optimization based option pricing bounds via piecewise polynomial super- and sub-martingales

Primbs, James A.

Year:

2008

Language:

english

File:

PDF, 206 KB

english, 2008

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