{"id":"https://openalex.org/W2077657385","doi":"https://doi.org/10.1109/cdc.2013.6760047","title":"On stock trading using a PI controller in an idealized market: The robust positive expectation property","display_name":"On stock trading using a PI controller in an idealized market: The robust positive expectation property","publication_year":2013,"publication_date":"2013-12-01","ids":{"openalex":"https://openalex.org/W2077657385","doi":"https://doi.org/10.1109/cdc.2013.6760047","mag":"2077657385"},"language":"en","primary_location":{"id":"doi:10.1109/cdc.2013.6760047","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2013.6760047","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"52nd IEEE Conference on Decision and Control","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5090230561","display_name":"Shirzad Malekpour","orcid":"https://orcid.org/0000-0002-5640-5109"},"institutions":[{"id":"https://openalex.org/I135310074","display_name":"University of Wisconsin\u2013Madison","ror":"https://ror.org/01y2jtd41","country_code":"US","type":"education","lineage":["https://openalex.org/I135310074"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Shirzad Malekpour","raw_affiliation_strings":["Department of Electrical and Computer Engineering, University of Wisconsin, Madison, WI"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, University of Wisconsin, Madison, WI","institution_ids":["https://openalex.org/I135310074"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082163479","display_name":"James A. Primbs","orcid":"https://orcid.org/0000-0002-1970-8282"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"James A. Primbs","raw_affiliation_strings":["Department of Systems Engineering, University of Texas, Dallas, TX"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Systems Engineering, University of Texas, Dallas, TX","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054056783","display_name":"B. Ross Barmish","orcid":"https://orcid.org/0000-0002-2067-0349"},"institutions":[{"id":"https://openalex.org/I135310074","display_name":"University of Wisconsin\u2013Madison","ror":"https://ror.org/01y2jtd41","country_code":"US","type":"education","lineage":["https://openalex.org/I135310074"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"B. Ross Barmish","raw_affiliation_strings":["Department Of Electrical and Computer Engineering, University of Wisconsin, Madison, WI"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department Of Electrical and Computer Engineering, University of Wisconsin, Madison, WI","institution_ids":["https://openalex.org/I135310074"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":10.1443,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.97907585,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"24","issue":null,"first_page":"1210","last_page":"1216"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.991100013256073,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monotonic-function","display_name":"Monotonic function","score":0.6391249895095825},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5188499689102173},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5076895952224731},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.48101621866226196},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.4430678188800812},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.42519333958625793},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4160374104976654},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4079001247882843},{"id":"https://openalex.org/keywords/control-theory","display_name":"Control theory (sociology)","score":0.40749597549438477},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3935495913028717},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.37381845712661743},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.36353766918182373},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.1627972424030304},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12524747848510742},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.12379324436187744},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.10415750741958618}],"concepts":[{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.6391249895095825},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5188499689102173},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5076895952224731},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.48101621866226196},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4430678188800812},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.42519333958625793},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4160374104976654},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4079001247882843},{"id":"https://openalex.org/C47446073","wikidata":"https://www.wikidata.org/wiki/Q5165890","display_name":"Control theory (sociology)","level":3,"score":0.40749597549438477},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3935495913028717},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37381845712661743},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.36353766918182373},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.1627972424030304},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12524747848510742},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.12379324436187744},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.10415750741958618},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cdc.2013.6760047","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2013.6760047","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"52nd IEEE Conference on Decision and Control","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1583465961","https://openalex.org/W2005158847","https://openalex.org/W2005649041","https://openalex.org/W2008421072","https://openalex.org/W2009383085","https://openalex.org/W2010296569","https://openalex.org/W2018339765","https://openalex.org/W2022427341","https://openalex.org/W2022611390","https://openalex.org/W2034931954","https://openalex.org/W2068745433","https://openalex.org/W2077218998","https://openalex.org/W2077791698","https://openalex.org/W2081080078","https://openalex.org/W2096020650","https://openalex.org/W2104365669","https://openalex.org/W2120547244","https://openalex.org/W2124783336","https://openalex.org/W2133077229","https://openalex.org/W2135686568","https://openalex.org/W2139836402","https://openalex.org/W2147876444","https://openalex.org/W2166953369","https://openalex.org/W2546505240","https://openalex.org/W4241627017","https://openalex.org/W6634786197","https://openalex.org/W6684172706"],"related_works":["https://openalex.org/W1968307896","https://openalex.org/W2127257049","https://openalex.org/W1963569934","https://openalex.org/W1963833426","https://openalex.org/W2245694845","https://openalex.org/W3122972538","https://openalex.org/W2059921867","https://openalex.org/W2121792043","https://openalex.org/W2464583113","https://openalex.org/W4224229971"],"abstract_inverted_index":{"In":[0],"a":[1,6,24,62,97,103,117,177,199,223,258],"number":[2,224],"of":[3,9,32,77,105,135,196,225,232,235,241],"recent":[4],"papers,":[5],"new":[7],"line":[8],"research":[10],"has":[11],"been":[12],"unfolding":[13],"which":[14],"is":[15,35,43,56,84,143,162],"aimed":[16],"at":[17],"using":[18],"classical":[19,200],"linear":[20,108],"feedback":[21,68,245],"control":[22],"in":[23,61,151,159,257],"model-free":[25,63],"stock":[26,40,93],"trading":[27,123,191],"context.":[28],"The":[29],"salient":[30],"feature":[31],"this":[33,132,152,160,165,173],"approach":[34],"that":[36,212],"no":[37],"model":[38],"for":[39,121,126,181,193],"price":[41],"dynamics":[42],"used":[44],"to":[45,82,116,163,169,198,210],"determine":[46],"the":[47,53,70,78,122,136,139,145,156,182,189,194,206,213,230,233,238,244,253],"dollar":[48],"amount":[49],"invested":[50],"I(t).":[51,185],"Instead,":[52],"investment":[54,183],"level":[55],"performance":[57],"driven":[58],"and":[59,73,112,204,237],"generated":[60],"manner":[64],"via":[65],"an":[66],"adaptive":[67],"on":[69,243],"cumulative":[71],"gains":[72],"losses":[74],"g(t).":[75],"One":[76],"main":[79,157],"results":[80],"obtained":[81,263],"date":[83],"paraphrased":[85],"as":[86,229],"follows:":[87],"Under":[88],"idealized":[89],"market":[90,260],"conditions":[91],"with":[92,261],"prices":[94,262],"governed":[95],"by":[96],"non-trivial":[98],"Geometric":[99],"Brownian":[100],"Motion":[101],"(GBM),":[102],"combination":[104],"two":[106],"static":[107,168],"feedbacks,":[109],"one":[110,113],"long":[111],"short,":[114],"leads":[115],"positive":[118,147,215],"expected":[119],"value":[120],"gain":[124],"g(t)":[125,197,236,242],"all":[127],"t":[128],">":[129],"0.":[130],"Since":[131],"holds":[133],"independently":[134],"parameters":[137],"underlying":[138],"GBM":[140,154],"process,":[141],"it":[142],"called":[144],"\u201crobust":[146],"expectation\u201d":[148],"property.":[149],"Working":[150],"same":[153],"setting,":[155],"objective":[158],"paper":[161],"generalize":[164],"result":[166],"from":[167,264],"dynamic":[170],"feedback.":[171],"To":[172],"end,":[174],"we":[175,187,248],"consider":[176,222],"Proportional-Integral":[178],"(PI)":[179],"controller":[180,255],"function":[184],"Subsequently,":[186],"reduce":[188],"stochastic":[190],"equations":[192],"expectation":[195,216],"second":[201],"order":[202],"system":[203],"use":[205],"closed-":[207],"form":[208],"solution":[209],"prove":[211],"robust":[214],"property":[217],"still":[218],"holds.":[219],"We":[220],"also":[221],"other":[226],"issues":[227],"such":[228],"analysis":[231],"variance":[234],"monotonic":[239],"dependence":[240],"gains.":[246],"Finally,":[247],"provide":[249],"simulations":[250],"showing":[251],"how":[252],"PI":[254],"performs":[256],"real":[259],"historical":[265],"data.":[266]},"counts_by_year":[{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}