James A. Primbs - researchr alias

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Viewing Publication 1 - 36 from 36

2022

On Feedforward Stock Trading Control Using a New Transaction Level Price Trend ModelB. Ross Barmish, James A. Primbs, Sean Warnick. tac, 67(2):902-909, 2022. [doi]

2018

A Generalization of Simultaneous Long-Short Stock Trading to PI ControllersShirzad Malekpour, James A. Primbs, B. Ross Barmish. tac, 63(10):3531-3536, 2018. [doi]

2016

On a New Paradigm for Stock Trading Via a Model-Free Feedback ControllerB. Ross Barmish, James A. Primbs. tac, 61(3):662-676, 2016. [doi]

On NASDAQ Order Book dynamics: New problems for the control fieldB. Ross Barmish, Scott Condie, Donatello Materassi, James A. Primbs, Sean Warnick. amcc 2016: 5671-5672 [doi]

2013

On the basics for simulation of feedback-based stock trading strategies: An invited tutorial sessionB. Ross Barmish, James A. Primbs, Shirzad Malekpour, Sean Warnick. cdc 2013: 7181-7186 [doi]

On stock trading using a PI controller in an idealized market: The robust positive expectation propertyShirzad Malekpour, James A. Primbs, B. Ross Barmish. cdc 2013: 1210-1216 [doi]

2012

2011

On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock marketB. Ross Barmish, James A. Primbs. cdc 2010: 2889-2894 [doi]

ACC 2011 tutorial session: An introduction to option trading from a control perspectiveJames A. Primbs, B. Ross Barmish. amcc 2011: 1726-1728 [doi]

2010

LQR and receding horizon approaches to multi-dimensional option hedging under transaction costsJames A. Primbs. amcc 2010: 6891-6896 [doi]

A fast algorithm for stochastic model predictive control with probabilistic constraintsMinyong Shin, James A. Primbs. amcc 2010: 5489-5494 [doi]

Constrained stochastic MPC under multiplicative noise for financial applicationsMinyong Shin, Joo Hyung Lee, James A. Primbs. cdc 2010: 6101-6106 [doi]

2009

Dynamic hedging of basket options under proportional transaction costs using receding horizon controlJames A. Primbs. ijcon, 82(10):1841-1855, 2009. [doi]

Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative NoiseJames A. Primbs, Chang Hwan Sung. tac, 54(2):221-230, 2009. [doi]

2008

Optimal pairs trading: A stochastic control approachSupakorn Mudchanatongsuk, James A. Primbs, Wilfred Wong. amcc 2008: 1035-1039 [doi]

Optimization based option pricing bounds via piecewise polynomial super- and sub-martingalesJames A. Primbs. amcc 2008: 363-368 [doi]

2007

A soft constraint approach to stochastic receding horizon controlJames A. Primbs. cdc 2007: 4797-4802 [doi]

Portfolio Optimization Applications of Stochastic Receding Horizon ControlJames A. Primbs. amcc 2007: 1811-1816 [doi]

Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative NoiseJames A. Primbs. amcc 2007: 4470-4475 [doi]

2006

Trader behavior and hedging feedback in the stock pinning phenomenaJames A. Primbs, Muruhan Rathinam. amcc 2006: [doi]

Option pricing bounds via semidefinite programmingJames A. Primbs. amcc 2006: [doi]

Option valuation and hedging using multinomial lattices with cumulantsYuji Yamada, James A. Primbs. amcc 2006: [doi]

2003

A moment based analysis of hedging under discrete tradingJames A. Primbs, Yuji Yamada. cifer 2003: 71-76 [doi]

Mean square optimal hedges using higher order momentsYuji Yamada, James A. Primbs. cifer 2003: 131-137 [doi]

2001

The analysis of optimization based controllersJames A. Primbs. automatica, 37(6):933-938, 2001. [doi]

Risk estimates for dynamic hedging using convex probability boundsYuji Yamada, James A. Primbs. amcc 2001: 843-847 [doi]

Construction of Multinomial Lattice Random Walks for Optimal HedgesYuji Yamada, James A. Primbs. iccS 2001: 579-588 [doi]

2000

An analysis technique for optimization based control applied to quasi-LPV plantsMonica Giannelli, James A. Primbs. amcc 2000: 1909-1913 [doi]

Feasibility and stability of constrained finite receding horizon controlJames A. Primbs, Vesna Nevistic. automatica, 36(7):965-971, 2000. [doi]

A new approach to stability analysis for constrained finite receding horizon control without end constraintsJames A. Primbs, Vesna Nevistic. tac, 45(8):1507-1512, 2000. [doi]

A framework for robustness analysis of constrained finite receding horizon controlJames A. Primbs, Vesna Nevistic. tac, 45(10):1828-1838, 2000. [doi]

A receding horizon generalization of pointwise min-norm controllersJames A. Primbs, Vesna Nevistic, John C. Doyle. tac, 45(5):898-909, 2000. [doi]

Distribution-based option pricing on lattice asset dynamics modelsYuji Yamada, James A. Primbs. amcc 2000: 3393-3397 [doi]

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