19 citations · 53 across the 4 of their papers we have counts for
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The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attentio…
On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We consider a discrete-time, linear state equation with delay which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The…
On Kelly Betting: Some Limitations
Chung-Han Hsieh, B. Ross Barmish
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion ca…
On Drawdown-Modulated Feedback Control in Stock Trading
Chung-Han Hsieh, B. Ross Barmish
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivati…