BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Seminar by Prof. Bob Barmish\, University of Wisconsin-Madison
DTSTART:20170322T120000
DTEND:20170322T140000
DTSTAMP:20260403T212133Z
UID:fbac4dd66abbdfd5aa2b22addff715e6652747fccab7bac14b7f992a
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Bob Barmish\, University of Wisconsin-Madison \n"A New T
 heory of Stock Trading Based on Robust Control Concepts"\n\n\nAbstract\nTh
 e motivation for this research is derived from the voluminous literature s
 tudying the profitability of technically-based stock-trading strategies. S
 uffice it to say\, the literature is controversial. Some authors claim the
 ir empirical studies using historical data demonstrate efficacy of technic
 al analysis while others claim that such studies are flawed\; e.g.\, facto
 rs such as problems in testing procedures and data snooping lead to unduly
  optimistic results. With these considerations in mind\, in this talk\, I 
 will provide an overview of a new paradigm for stock trading inspired by r
 obust control theory. In contrast to the existing literature\, the argumen
 t for efficacy of technical analysis will be based on theory rather than b
 ack-testing using historical data. To this end\, we will consider a pyrami
 d-style trend-following trade management rule which we call ``Simultaneous
  Long-Short.'' In an idealized market characterized by perfect liquidity\,
  zero transaction costs and other classical assumptions\, we describe a nu
 mber of theoretically provable robustness properties of the trading system
 . One of the main takeaways from this talk should be that success of some 
 technically-based trading systems are more rooted in sound money managemen
 t than predictions about future prices.\n\n 
LOCATION:EPFL\, ODY 4.03\, VIP Room http://plan.epfl.ch/?zoom=19&recenter_
 y=5863800.12869&recenter_x=731560.22521&layerNodes=fonds\,batiments\,label
 s\,information\,parkings_publics\,arrets_metro\,transports_publics&floor=4
 &q=ODY_4.03
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR