j******i
发帖数: 6 | 1 To anybody who knows black-scholes model and stochastic differential
equation or anybody who knows control theory.
dS=αSdt+βSdB, S denote the price of a stock depends on t,S(t), α is the
drift or rate of return, β is the volatility, B is brownian motion.
How do I incorporate the control parameter γ , and a number “ L “defined
as dN/dS, where N denotes the amount of asset traded and S denote the asset
price so that dS=(αS+γ/L)dt+βSdB
defines a differential equation.
Thank you in advance | g******u
发帖数: 3060 | 2 S denote the price of a stock depends on t,
S denote the asset
price
got me confused. | a****l
发帖数: 8211 | 3 I am not sure traditional control theory can be applied to trading system. "
Trading" is not a physical process,so it is inherently different from the
target systems of traditional control theory.
defined
asset
【在 j******i 的大作中提到】
: To anybody who knows black-scholes model and stochastic differential
: equation or anybody who knows control theory.
: dS=αSdt+βSdB, S denote the price of a stock depends on t,S(t), α is the
: drift or rate of return, β is the volatility, B is brownian motion.
: How do I incorporate the control parameter γ , and a number “ L “defined
: as dN/dS, where N denotes the amount of asset traded and S denote the asset
: price so that dS=(αS+γ/L)dt+βSdB
: defines a differential equation.
: Thank you in advance
| g******u
发帖数: 3060 | 4 I'm sure some PHDs earning 6 figures can do that to finance system.
Basically they "define" and "assume" everything from system input to plant,
disturbances, feedbacks until the bank system collapsed.
"
【在 a****l 的大作中提到】
: I am not sure traditional control theory can be applied to trading system. "
: Trading" is not a physical process,so it is inherently different from the
: target systems of traditional control theory.
:
: defined
: asset
| a****l
发帖数: 8211 | 5 yeah, then brings about a big depression and most of the guys working on ee
control issues got laid off...
,
【在 g******u 的大作中提到】
: I'm sure some PHDs earning 6 figures can do that to finance system.
: Basically they "define" and "assume" everything from system input to plant,
: disturbances, feedbacks until the bank system collapsed.
:
: "
| z*****n
发帖数: 7639 | 6 如果一个经济模型这么简单，这么“受控”，当然可以。
不过这个太理想化了吧？经济学的phd就拿这东西忽悠人？
,
【在 g******u 的大作中提到】
: I'm sure some PHDs earning 6 figures can do that to finance system.
: Basically they "define" and "assume" everything from system input to plant,
: disturbances, feedbacks until the bank system collapsed.
:
: "
| g******u
发帖数: 3060 | 7 On the contrary, I believe their models must be way more complicated than we
can possibly imagine, that's how they earned their money.
But the problem is, economics is basically a human or politics based system,
there are certain rules, but are also made by human and are certainly
changeable. How can you set up any kind of physical model to describe human
activities, in order to control or predict anything? It's like a chaos.
Even the biggest names in control histroy can only write books based o
【在 z*****n 的大作中提到】
: 如果一个经济模型这么简单，这么“受控”，当然可以。
: 不过这个太理想化了吧？经济学的phd就拿这东西忽悠人？
:
: ,
| z*****n
发帖数: 7639 | 8
we
system,
human
This is exactly the point I was doubting in previous post.
Human socity is a very complex system and many
behaviours cannot be modeled. Engineering
(including auto-control) needs strict math model.
So I call this using differential equation/laplas transform
thing in economics is a kind of 忽悠。
anyone
【在 g******u 的大作中提到】
: On the contrary, I believe their models must be way more complicated than we
: can possibly imagine, that's how they earned their money.
: But the problem is, economics is basically a human or politics based system,
: there are certain rules, but are also made by human and are certainly
: changeable. How can you set up any kind of physical model to describe human
: activities, in order to control or predict anything? It's like a chaos.
: Even the biggest names in control histroy can only write books based o
| d****i
发帖数: 4809 | 9 haha, can't agree with you any more.
,
【在 g******u 的大作中提到】
: I'm sure some PHDs earning 6 figures can do that to finance system.
: Basically they "define" and "assume" everything from system input to plant,
: disturbances, feedbacks until the bank system collapsed.
:
: "
|
|
