info:eu-repo/semantics/article
Portfolio modeling for an algorithmic trading based on control theory
Registro en:
2405-8963
Autor
Ruiz-Cruz, Riemann
Institución
Resumen
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.