EAGER: ON BUILDING A BRIDGE BETWEEN CLASSICAL CONTROL THEORY AND FINANCIAL MARKETS:

目的：提出一种基于反馈控制的投资方法来代替传统的金融模型。目标是利用反馈的特性，而不需要详细的价格建模。与基本反馈原则一致，控制器对价格是反应性的，而不是预测性的。智力价值：该研究将促进反馈原则在金融领域的应用，作为经济建模的替代方案。我们不使用不可靠的随机价格模型，而是将价格视为外部不受控制的输入，我们寻求稳健的表现。反馈控制器简单地处理历史价格和可能的成交量，以确定适当的投资水平。在投资组合环境中，控制器设计将产生新的替代方案，以取代著名的马科维茨理论，用于各种组件的加权。拟议的研究包括在所谓的理想市场中对性能进行强有力的认证的概念。该方法是用一种新的鲁棒性范式来取代昂贵且耗时的回测，以评估投资策略。更广泛的影响：这项研究计划为自主投资者开发简单的方法和软件，这些投资者本质上是在与资金充足的对冲基金和大型金融机构竞争，后者有能力承担可能带来高回报的高风险赌注。我们设想为非专业人士举办研讨会，旨在教与会者如何管理投资，建立一个网站，可以随时下载教程文献和交易代码。这条研究路线有可能激励新一代系统工程研究生考虑从事金融职业。

Objective: The proposal deals with feedback control based methods for investment in lieu of the traditional financial models. The goal is to exploit the properties of feedback which do not require elaborate price modeling. Consistent with basic feedback principles, the controllers are reactive to price rather than predictive in nature.Intellectual Merit: The research will stimulate the application of feedback principles in finance as an alternative to economic modeling. Rather than using unreliable stochastic price models, we treat price as an external uncontrolled input against which we seek robust performance. The feedback controller simply processes the history of price and possibly volume to determine the appropriate level of investment. In a portfolio context, controller design will result in new alternatives to the celebrated Markowitz theory for weighting of various components. The proposed research includes the notion of robust certification of performance in a so-called idealized market. The approach is to replace expensive and time consuming back-tests with a new robustness paradigm for evaluating investment strategies.Broader Impact: The research plans to develop simple recipes and software for the self-directed investor who is in essence competing against well capitalized hedge funds and large financial institutions that can afford to take risky bets with potentially high payoffs. We envision workshops for non-experts aimed to teach attendees how to manage investments, a web site from which tutorial literature and trading codes can be readily downloaded. This line of research has the potential to motivate a new generation of graduate students in systems engineering to consider careers in finance.