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James A. Primbs
2020 – today
- 2022
- [j13]B. Ross Barmish, James A. Primbs, Sean Warnick:
On Feedforward Stock Trading Control Using a New Transaction Level Price Trend Model. IEEE Trans. Autom. Control. 67(2): 902-909 (2022)
2010 – 2019
- 2018
- [j12]Shirzad Malekpour, James A. Primbs, B. Ross Barmish:
A Generalization of Simultaneous Long-Short Stock Trading to PI Controllers. IEEE Trans. Autom. Control. 63(10): 3531-3536 (2018) - 2016
- [j11]B. Ross Barmish, James A. Primbs:
On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller. IEEE Trans. Autom. Control. 61(3): 662-676 (2016) - [c26]B. Ross Barmish, Scott Condie, Donatello Materassi, James A. Primbs, Sean Warnick:
On NASDAQ Order Book dynamics: New problems for the control field. ACC 2016: 5671-5672 - 2015
- [r1]B. Ross Barmish, James A. Primbs:
Stock Trading via Feedback Control. Encyclopedia of Systems and Control 2015 - 2013
- [c25]Shirzad Malekpour, James A. Primbs, B. Ross Barmish:
On stock trading using a PI controller in an idealized market: The robust positive expectation property. CDC 2013: 1210-1216 - [c24]B. Ross Barmish, James A. Primbs, Shirzad Malekpour, Sean Warnick:
On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session. CDC 2013: 7181-7186 - 2012
- [j10]Minyong Shin, James A. Primbs:
A Riccati Based Interior Point Algorithm for the Computation in Constrained Stochastic MPC. IEEE Trans. Autom. Control. 57(3): 760-765 (2012) - [c23]B. Ross Barmish, James A. Primbs:
On market-neutral stock trading arbitrage via linear feedback. ACC 2012: 3693-3698 - [c22]James A. Primbs, B. Ross Barmish:
ACC 2012 tutorial session: An introduction to hedged-like stock trading from a control theoretic point of view. ACC 2012: 4496-4497 - [c21]Yuji Yamada, James A. Primbs:
Model predictive control for optimal portfolios with cointegrated pairs of stocks. CDC 2012: 5705-5710 - 2011
- [c20]James A. Primbs, B. Ross Barmish:
ACC 2011 tutorial session: An introduction to option trading from a control perspective. ACC 2011: 1726-1728 - [c19]B. Ross Barmish, James A. Primbs:
On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market. CDC/ECC 2011: 2889-2894 - 2010
- [c18]Minyong Shin, James A. Primbs:
A fast algorithm for stochastic model predictive control with probabilistic constraints. ACC 2010: 5489-5494 - [c17]James A. Primbs:
LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs. ACC 2010: 6891-6896 - [c16]Minyong Shin, Joo Hyung Lee, James A. Primbs:
Constrained stochastic MPC under multiplicative noise for financial applications. CDC 2010: 6101-6106
2000 – 2009
- 2009
- [j9]James A. Primbs:
Dynamic hedging of basket options under proportional transaction costs using receding horizon control. Int. J. Control 82(10): 1841-1855 (2009) - [j8]James A. Primbs, Chang Hwan Sung:
Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise. IEEE Trans. Autom. Control. 54(2): 221-230 (2009) - 2008
- [c15]James A. Primbs:
Optimization based option pricing bounds via piecewise polynomial super- and sub-martingales. ACC 2008: 363-368 - [c14]Supakorn Mudchanatongsuk, James A. Primbs, Wilfred Wong:
Optimal pairs trading: A stochastic control approach. ACC 2008: 1035-1039 - 2007
- [c13]James A. Primbs:
Portfolio Optimization Applications of Stochastic Receding Horizon Control. ACC 2007: 1811-1816 - [c12]James A. Primbs:
Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise. ACC 2007: 4470-4475 - [c11]James A. Primbs:
A soft constraint approach to stochastic receding horizon control. CDC 2007: 4797-4802 - 2006
- [c10]James A. Primbs:
Option pricing bounds via semidefinite programming. ACC 2006 - [c9]James A. Primbs, Muruhan Rathinam:
Trader behavior and hedging feedback in the stock pinning phenomena. ACC 2006 - [c8]Yuji Yamada, James A. Primbs:
Option valuation and hedging using multinomial lattices with cumulants. ACC 2006 - 2003
- [c7]James A. Primbs, Yuji Yamada:
A moment based analysis of hedging under discrete trading. CIFEr 2003: 71-76 - [c6]Yuji Yamada, James A. Primbs:
Mean square optimal hedges using higher order moments. CIFEr 2003: 131-137 - 2001
- [j7]James A. Primbs:
The analysis of optimization based controllers. Autom. 37(6): 933-938 (2001) - [j6]Jie Yu, Ali Jadbabaie, James A. Primbs, Yun Huang:
Comparison of nonlinear control design techniques on a model of the Caltech ducted fan. Autom. 37(12): 1971-1978 (2001) - [j5]James A. Primbs, Monica Giannelli:
Kuhn-Tucker-based stability conditions for systems with saturation. IEEE Trans. Autom. Control. 46(10): 1643-1647 (2001) - [c5]Yuji Yamada, James A. Primbs:
Risk estimates for dynamic hedging using convex probability bounds. ACC 2001: 843-847 - [c4]Ali Jadbabaie, James A. Primbs, John Hauser:
Unconstrained receding horizon control with no terminal cost. ACC 2001: 3055-3060 - [c3]Yuji Yamada, James A. Primbs:
Construction of Multinomial Lattice Random Walks for Optimal Hedges. International Conference on Computational Science (1) 2001: 579-588 - 2000
- [j4]James A. Primbs, Vesna Nevistic:
Feasibility and stability of constrained finite receding horizon control. Autom. 36(7): 965-971 (2000) - [j3]James A. Primbs, Vesna Nevistic, John C. Doyle:
A receding horizon generalization of pointwise min-norm controllers. IEEE Trans. Autom. Control. 45(5): 898-909 (2000) - [j2]James A. Primbs, Vesna Nevistic:
A new approach to stability analysis for constrained finite receding horizon control without end constraints. IEEE Trans. Autom. Control. 45(8): 1507-1512 (2000) - [j1]James A. Primbs, Vesna Nevistic:
A framework for robustness analysis of constrained finite receding horizon control. IEEE Trans. Autom. Control. 45(10): 1828-1838 (2000) - [c2]Monica Giannelli, James A. Primbs:
An analysis technique for optimization based control applied to quasi-LPV plants. ACC 2000: 1909-1913 - [c1]Yuji Yamada, James A. Primbs:
Distribution-based option pricing on lattice asset dynamics models. ACC 2000: 3393-3397
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