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UID:UW-Physics-Event-3485
DTSTART:20141028T170500Z
DTEND:20141028T180000Z
DTSTAMP:20260419T161433Z
LAST-MODIFIED:20140925T062342Z
LOCATION:4274 Chamberlin Hall (Refreshments will be served)
SUMMARY:On reactive model-free stock trading in a complex financial ma
 rket\, Chaos & Complex Systems Seminar\, Bob Barmish\, UW Department o
 f Electrical and Computer Engineering
DESCRIPTION:In this seminar\, I will describe a new paradigm for stock
  trading in a complex financial market.  The theory does not make use 
 of a predictive model for the time-varying stock price. Instead\, base
 d on the use of a feedback control loop\, the investment level is dyna
 mically adjusted over time via a "reactive adaptation'' mechanism. In 
 the finance literature\, such a scheme falls under the umbrella of  "t
 echnical analysis.'' After explaining what is meant by technical analy
 sis\, I will address a long standing conundrum in finance: Why is it t
 hat so many asset managers\, hedge funds and individual investors trad
 e stock using technical analysis despite the existence of a significan
 t body of literature claiming that such methods are of questionable wo
 rth with little or no theoretical rationale?  Whereas existing work on
  this question by academics and practitioners in finance involves exte
 nsive statistical analysis of a trading algorithm via back-testing wit
 h historical data\, our new feedback-based approach is aimed at provid
 ing a theoretical rationale which explains both successes and failures
 . <br>
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URL:https://www.physics.wisc.edu/events/?id=3485
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