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Optimal Control of Trading Algorithms: A General Impulse Control Approach

Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle
2011 SIAM Journal on Financial Mathematics  
We propose a general framework for intra-day trading based on the control of trading algorithms.  ...  Given a set of generic parameterized algorithms (which have to be specified by the controller ex-ante), our aim is to optimize the dates (τ i ) i at which they are launched, the length (δ i ) i of the  ...  Namely, we propose a rigorous framework for the optimal control of trading algorithms: how does one decide optimally of the times at which algorithms are launched, what parameters to use, for how long?  ... 
doi:10.1137/090777293 fatcat:pnaidnwrrva3bngqro3pvsfgee

Optimal 1,3-propanediol production: Exploring the trade-off between process yield and feeding rate variation

Lei Wang, Qun Lin, Ryan Loxton, Kok Lay Teo, Guanming Cheng
2015 Journal of Process Control  
This paper proposes a new optimal control model for the production of 1,3-propanediol (1,3-PD) via microbial fedbatch fermentation.  ...  We then develop a combined particle swarm and gradient-based optimization algorithm to solve this approximate problem. The paper concludes with simulation results.  ...  Acknowledgements This work was supported by the National Natural Science Foundation of China (Grants 11171050, 11371164), the National Natural Science Foundation for the Youth of China (Grants 11301081  ... 
doi:10.1016/j.jprocont.2015.04.011 fatcat:dijrve27z5cvhi5u57fkmcxnx4

Algorithms for solid noise synthesis

J. P. Lewis
1989 Computer graphics  
The new algorithms have advantages of efficiency, improved control over the noise power spectrum, and the absence of artifacts.  ...  The convolution algorithm additionally allows quality to be traded for efficiency without introducing obvious deterministic effects.  ...  The voxels can then be numbered, and the voxel number serves as a random number generator seed for generating the impulses within that voxel.  ... 
doi:10.1145/74334.74360 fatcat:mkxjs5xbbzg3rftfcw4rn6yxlq

Algorithms for solid noise synthesis

J. P. Lewis
1989 Proceedings of the 16th annual conference on Computer graphics and interactive techniques - SIGGRAPH '89  
The new algorithms have advantages of efficiency, improved control over the noise power spectrum, and the absence of artifacts.  ...  The convolution algorithm additionally allows quality to be traded for efficiency without introducing obvious deterministic effects.  ...  The voxels can then be numbered, and the voxel number serves as a random number generator seed for generating the impulses within that voxel.  ... 
doi:10.1145/74333.74360 dblp:conf/siggraph/Lewis89 fatcat:b4ilojid3jhhlp6lsf2os7xgde

Interference-Normalized Least Mean Square Algorithm

Jean-Marc Valin, Iain B. Collings
2007 IEEE Signal Processing Letters  
The INLMS algorithm extends the gradient-adaptive learning rate approach to the case where the signals are non-stationary.  ...  In particular, we show that the INLMS algorithm can work even for highly non-stationary interference signals, where previous gradient-adaptive learning rate algorithms fail.  ...  INTRODUCTION T HE choice of learning rate is one of the most important aspects of least mean square adaptive filtering algorithms as it controls the trade off between convergence speed and divergence in  ... 
doi:10.1109/lsp.2007.908017 fatcat:bpdw22d325dg7kp6qavkxknhue

Algorithmic Trading and Information

Terrence Hendershott, Ryan Riordan
2011 Social Science Research Network  
We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse.  ...  AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value.  ...  The impulse response functions provide an estimate of the permanent price impact of a trade innovation (the unexpected portion of a trade).  ... 
doi:10.2139/ssrn.1472050 fatcat:2izi3w2d4jgzlhyki76aapawua

An Improved Variable Step-size Affine Projection Sign Algorithm for Echo Cancellation [article]

Jianming Liu, Steven L. Grant
2013 arXiv   pre-print
Simulation results demonstrate that, compared to the previous VSS for APSA, the proposed approach provides both more robustness to impulse interference and better tracking ability of echo path change.  ...  This paper proposes an improved variable step-size (VSS) algorithm for the recently introduced affine projection sign algorithm (APSA) based on the recovery of the near-end signal energy in the error signal  ...  However, the proposed VSS APSA has a lower misalignment at steady-state due to the recovery of the impulsive interference and almost approaches the theoretically optimal performance of Shao's algorithm  ... 
arXiv:1311.5242v1 fatcat:xlx73ddp7vg75apkhjxy3iby3y

An Improved Variable Step-Size Affine Projection Sign Algorithm For Echo Cancellation

Steven Grant, Jianming Liu
2013 Zenodo  
Publication in the conference proceedings of EUSIPCO, Marrakech, Morocco, 2013  ...  However, the proposed VSS APSA has a lower misalignment at steady-state due to the recovery of the impulsive interference and almost approaches the theoretically optimal performance of Shao's algorithm  ...  To sum up, our improved variable step-size for APSA could almost approach the theoretically optimal performance of Shao's VSS algorithm and outperforms both the Shin's VSS and fixed step-size APSAs in  ... 
doi:10.5281/zenodo.43651 fatcat:uefyxww5hrg2fbk2iu65lz4aaq

Impact of Learning Algorithms on Random Neural Network based Optimization for LTE-UL Systems

Ahsan Adeel, Hadi Larijani, Abbas Javed, Ali Ahmadinia
2015 Network Protocols and Algorithms  
The limitations of existing analytical, artificial intelligence (AI), and machine learning (ML) based approaches are highlighted and a novel integration of random neural network (RNN) based learning with  ...  Finally, the ANN and RNN based optimization results are compared with the state-of-the-art fractional power control (FPC) schemes in terms of user throughput and power consumption.  ...  An RL based approach for power control is presented in [12] .  ... 
doi:10.5296/npa.v7i3.8295 fatcat:42xn7siykreujldt7vocll2hca

Multiobjective Evolutionary Algorithms in Aeronautical and Aerospace Engineering

Alfredo Arias-Montano, Carlos A. Coello Coello, Efrén Mezura-Montes
2012 IEEE Transactions on Evolutionary Computation  
Nowadays, the solution of multi-objective optimization problems in aeronautical and aerospace engineering has become a standard practice.  ...  We also provide a set of general guidelines for using and designing MOEAs for aeronautical and aerospace engineering problems.  ...  ACKNOWLEDGEMENTS The first author acknowledges support from IPN and CONACyT to pursue graduate studies at the Computer Science Department of CINVESTAV-IPN.  ... 
doi:10.1109/tevc.2011.2169968 fatcat:jks6ga5vsjd7teh6wx3mpcq6xa

An adaptive penalized maximum likelihood algorithm

Guang Deng, Wai-Yin Ng
2008 Signal Processing  
We study a general solution to the problem and develop algorithms to address the problems of robustness to impulsive noise and exploiting the sparseness of the system.  ...  In this paper, we use the penalized maximum likelihood (PML) as a principled and unified approach for developing LMS-type algorithms.  ...  The parameter λ is a regularization factor that controls the trade-off.  ... 
doi:10.1016/j.sigpro.2008.04.001 fatcat:olukwknncjcinm4uvcamu67qwm

Anytime Control Algorithm: Model Reduction Approach

Raktim Bhattacharya, Gary J. Balas
2004 Journal of Guidance Control and Dynamics  
Balanced truncation and residualization are considered as model reduction tools to generate a set of reduced-order controllers, and a switching algorithm is presented that smoothly switches between them  ...  Implementation of a linear control algorithm involves matrix-vector multiplications that require a fixed computational time.  ...  The optimization problem for these algorithms is essentially minimization of a cost function with state and control constraints.  ... 
doi:10.2514/1.9457 fatcat:4p4dczuimfcqxnp3scgro2cspa

Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm

Pierre Bernhard, Naïma El Farouq, Stéphane Thiery
2007 SIAM Journal of Control and Optimization  
The so-called "interval model" for security prices, together with a robust control approach, allows one to construct a consistent theory of option pricing, including discrete time trading and arbitrary  ...  In this context, a new representation theorem for the viscosity solution of the relevant Isaacs (differential) quasivariational inequality leads to simple formulas and fast numerical algorithms to compute  ...  Aubin and co-workers [25, 3] have also adopted the robust control approach (they call it "tychastic" approach), with a market model which is a more general version of our model.  ... 
doi:10.1137/050626016 fatcat:z26dw2vibjawfghagekxlo3qgm

A Minimum Distortion Noise Reduction Algorithm With Multiple Microphones

Jingdong Chen, J. Benesty, Yiteng Huang
2008 IEEE Transactions on Audio, Speech, and Language Processing  
The first step is to determine a set of inter-sensor optimal spatial-temporal prediction transformations.  ...  This paper presents a new multichannel algorithm for noise reduction, which formulates the problem as one of estimating the speech component observed at one microphone using the observations from all the  ...  Over the past few decades, researchers and engineers have approached this challenging problem by exploiting different facets of the properties of speech and noise signals, and a large number of algorithms  ... 
doi:10.1109/tasl.2007.914969 fatcat:tyvck457aram5eoqat2ce2q7v4

Synthesis of configurable architectures for DSP algorithms

S. Ramanathan, V. Visvanathan, S.K. Nandy
1999 Proceedings Twelfth International Conference on VLSI Design. (Cat. No.PR00013)  
it is possible to attain a close match, both in terms of performance and power with respect to an ASIC, for any algorithmic parameters of the given algorithm.  ...  In this work, we present a methodology to synthesize ASIPs for DSP algorithms.  ...  Other techniques reported in 15 -17 rely on software approach to derive the optimal hardwaresoftware combine for a given application.  ... 
doi:10.1109/icvd.1999.745181 dblp:conf/vlsid/RamanathanVN99 fatcat:3zaspf5mdfeejb6thi5fwzxcba
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