| dc.creator | Ruiz-Cruz, Riemann | |
| dc.date | 2019-06-11T19:35:58Z | |
| dc.date | 2019-06-11T19:35:58Z | |
| dc.date | 2018 | |
| dc.date.accessioned | 2023-07-21T22:07:23Z | |
| dc.date.available | 2023-07-21T22:07:23Z | |
| dc.identifier | Ruiz-Cruz, Riemann (2018). Portfolio modeling for an algorithmic trading based on control theory, IFAC-PapersOnLine, 51(13): 390-395. https://doi.org/10.1016/j.ifacol.2018.07.310. | |
| dc.identifier | 2405-8963 | |
| dc.identifier | http://hdl.handle.net/11117/5885 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/7759919 | |
| dc.description | 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. | |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Elsevier | |
| dc.rights | http://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdf | |
| dc.subject | Control of Nonlinear | |
| dc.subject | Trading Algorithm | |
| dc.subject | Portfolio Modeling | |
| dc.title | Portfolio modeling for an algorithmic trading based on control theory | |
| dc.type | info:eu-repo/semantics/article | |
