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Published in 2022 at "IEEE Control Systems Letters"
DOI: 10.1109/lcsys.2022.3218541
Abstract: A trading system is said to be robust if it generates a positive return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for…
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Keywords:
trading;
double linear;
transaction costs;
linear trading ... See more keywords