Talk: On Stock Trading Algorithm Research Based on Adaptive Feedback Control Loops

• Speaker: Professor B. Ross Barmish, UW-Madison ECE
• Date:  Wednesday, January 3rd at 11:30 AM to 1:00 PM
• Fee:  Meal Donation (Suggested): Members: $5, Guests: $10, Students: Free

• Location: 
      Sequoya Library
      4340 Tokay Blvd.
      Madison,  WI53711
• Please Register at the IEEE-Madison  event page.
• Non-member guests are always welcome.

Talk: This talk will provide an overview of my research on the development of new stock-trading algorithms. The most salient feature of the work is that no model of any sort is used for the underlying stock-price dynamics. Instead, the size of the time-varying stock position is determined using some simple ideas involving the adaptive power of feedback control loops. This approach is said to be "reactive" rather than predictive and amounts to assigning high priority to sound money management. Our emphasis in this talk will be more on the application than the theory. To this end, after explaining the key ideas driving this work, I will describe a number of software implementations which are used for back-testing simulations using historical data with attention paid to practical considerations such as transaction costs, leverage and margin.

Speaker: B. Ross Barmish is Professor of Electrical and Computer Engineering at the University of Wisconsin, Madison. Prior to joining UW in 1984, he held faculty positions at Yale University and the University of Rochester. From 2001-2003, he served as Chair of the EECS Department at Case Western Reserve while holding the Nord endowed professorship. He received his Bachelor's degree in EE from McGill University and the M.S. and Ph.D. degrees, also in EE, from Cornell University. Throughout his career, he has served the IEEE Control Systems Society in many capacities and has been a consultant for a number of companies. Professor Barmish is the author of the textbook "New Tools for Robustness of Linear Systems" and is a Fellow of both the IEEE and IFAC for his contributions to robust control. He received two Best Journal Publication awards, each covering  a three-year period, from the International Federation of Automatic Control and has given a number of keynotes and plenary lectures at major conferences. In 2013, he received the IEEE Control Systems Society Bode Prize. While his earlier work concentrated on robustness of dynamical systems, his current university research involves building a bridge between feedback control theory and trading in complex financial markets. In addition to this academic pursuit, in his capacity as CEO of Robust Trading Solutions, his work involves transition of stock-trading algorithms from theory to practice and government sponsored research on the NASDAQ Limit Order Book.