Publications

 My Publications

• • Google Scholar Link to My Articles

Journal Papers

1. C. H. Hsieh* and X. Y. Wang, "Robust Algorithmic Trading in a Generalized Lattice Market," Journal of Economic Dynamics and Control, vol. 174, pp. 105083:1-105083:28, 2025. (SSCI, 5-Year IF: 2.1, AJG 3, ABDC A*) (arXiv); (DOI)

2. C. H. Hsieh*, "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," European Journal of Operational Research, vol. 313, no. 3, pp. 1129-1139, 2024. (SCIE, 5-Year IF: 6.2, AJG 4, ABDC A*). (arXiv); (DOI)

3. C. H. Hsieh*, "On Asymptotic Log-Optimal Portfolio Optimization," Automatica, vol. 151, pp. 110901:1-110901:11, 2023. (SCIE, 5-Year 5-Year IF: 6.0). (arXiv); (DOI)

4. Y. S. Wong and C. H. Hsieh*, "On Frequency-Based Optimal Portfolio with Transaction Costs," IEEE Control Systems Letters, vol. 7, pp. 3489-3494, 2023. (ESCI, 5-Year IF: 2.2) (arXiv); (DOI)

5. C. H. Hsieh*, "On Robustness of Double Linear Trading with Transaction Costs," IEEE Control Systems Letters, vol. 7, pp. 679-684, 2022. (The ACC2023 Program Committee also selected this paper for presentation at the Conference.) (ESCI, 5-Year IF: 2.2); (arXiv); (DOI)

6. C. H. Hsieh*, "Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders," Automatica, vol. 136, pp. 11051:1-11051:7, 2022. (SCIE, 5-Year IF: 6.3). (arXiv); (DOI)

7. C. H. Hsieh*, "On Robust Economic Control of Epidemics with Application to COVID-19," IEEE Access, vol. 9, pp. 167948-167958, 2021. (SCIE, 5-Year IF: 3.9) (arXiv); (DOI)

8. C. H. Hsieh*, "Necessary and Sufficient Conditions for Frequency-Based Optimal Kelly Portfolio," IEEE Control Systems Letters, vol.5, no. 1, pp. 349-354, 2021. (The CDC2020 Program Committee also selected this paper for presentation at the Conference.) (ESCI, 5-Year IF: 2.2); (arXiv); (DOI)

9. C. H. Hsieh*, B. R. Barmish, and J. A. Gubner, “On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets,” IEEE Transactions on Automatic Control, AC-65, no. 7, pp. 3143-3149, 2020. (SCIE, 5-Year IF: 7.2);  (arXiv); (DOI) 

Peer-Reviewed Conference Papers

1. C. H. Hsieh* and Y. S. Wong, "On Risk-Sensitive Decision Making Under Uncertainty," Proceedings of the American Control Conference (ACC), Denver, Colorado, USA, pp. 1412-1417, 2025. (arXiv); (DOI)

2. B. R. Barmish, S. Formentin, C. H. Hsieh, A. V. Proskurnikov, S. Warnick, "A Jump Start to Stock Trading Research for the Uninitiated Control Scientist: A Tutorial," Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 7441-7457, Milano, Italy, 2024. (EI). (DOI)

3. X. Y. Wang and C. H. Hsieh*, "On Robustness of Double Linear Policy with Time-Varying Weights," Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 8515-8520, Marina Bay Sands, Singapore, 2023. (EI). (arXiv); (DOI)

4. C. H. Hsieh*, "On Data-Driven Drawdown Control with Restart Mechanism in Trading," IFAC-PapersOnline, vol. 56, no. 2, pp. 9324-9329, 2023. (EI), (arXiv); (DOI)

5. P. T. Wang and C. H. Hsieh*, "On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach," IFAC-PapersOnline, vol. 55, no. 30, pp. 474-479, 2022. (EI), (Invited Paper); (arXiv). (DOI)

6. C. H. Hsieh*, "On Feedback Control in Kelly Betting: An Approximation Approach," Proceedings of the IEEE Conference on Control Technology and Applications (CCTA), pp. 903-908, Montreal, Canada, 2020. (EI); (arXiv); (DOI)

7. C. H. Hsieh*, B. R. Barmish and J. A. Gubner, “The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold,”  Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 2580-2585, Nice, France, 2019. (EI);  (arXiv); (DOI)

8. C. H. Hsieh*, J. A. Gubner, and B. R. Barmish, “Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework,” Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 5820-5825, Miami Beach, 2018. (EI); (arXiv); (DOI)

9. C. H. Hsieh*, B. R. Barmish, and J. A. Gubner, “At What Frequency Should Kelly Bettor Bet?” Proceedings of the American Control Conference (ACC), pp. 5485–5490, Milwaukee, 2018. (EI); (arXiv); (DOI)

10. C. H. Hsieh* and B. R. Barmish, “On Inefficiency of Markowitz-Style Gambling Strategies When Drawdown is Important,” Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 3075–3080, Melbourne, Australia, 2017. (EI); (arXiv); (DOI)

11. C. H. Hsieh* and B. R. Barmish, “On Drawdown-Modulated Stock Trading,” IFAC-PapersOnLine, vol. 50, no.1, pp. 952–958, 2017. (EI); (arXiv); (DOI)

12. C. H. Hsieh*, B. R. Barmish and J. A. Gubner, “Kelly Betting Can Be Too Conservative,” Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 3695–3707, Las Vegas, 2016. (EI); (arXiv); (DOI) 

13. C. H. Hsieh* and B. R. Barmish, “On Kelly Betting: Some Limitations,” Proceedings of the Allerton Conference on Communication, Control, and Computing (Allerton), pp. 165–172, Monticello, 2015. (EI); (arXiv); (DOI) 

14. C. H. Hsieh* and J. S. Liu, “Nonlinear Model Predictive Control for Wheeled Mobile Robot in Dynamic Environment,” Proceedings of the IEEE/ASME International Conference on Advanced Intelligent Mechatronics (AIM), pp. 363–368, Kaohsiung, Taiwan, 2012. (EI); (DOI)

15. A. C. Lee, J. L. Zhou, and C. H. Hsieh, “The Application of Robust Doubly Coprime Factorization Disturbance Observer on PWM Inverters in Grid-Connected Photovoltaic Systems,” International Technical Conference on Circuits/Systems, Computers, and Communications (ITC-CSCC), Sapporo, Japan, 2012. (ResearchGate)

16. A. C. Lee, J. J. Liou, and C. H. Hsieh, “The Application of Doubly Coprime Factorization Disturbance Observer on Boost Converter in Photovoltaic System,” International Technical Conference on Circuits/Systems, Computers, and Communications (ITC-CSCC), Sapporo, Japan, 2012. (ResearchGate)

Preprints

1. C. H. Hsieh* and R. Gan, "Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective," submitted for possible publication, 2025. (arXiv) 

2. C. H. Hsieh*, J. R. Chang, H. H. Chen, "Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm," submitted for possible publication, 2025. (arXiv)

3. C. H. Hsieh*, "From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems," submitted for possible publication, 2025. (arXiv)

4. C. H. Hsieh* and Xiao-Rou Yu, "On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio," submitted for possible publication. 2024. (arXiv)

5. C. H. Hsieh* and Jie-Ling Lu, "On Accelerating Large-Scale Robust Portfolio Optimization," R&R. 2024. (arXiv)

6. C. L. Li and C. H. Hsieh*, "On Unified Adaptive Portfolio Management," submitted for possible publication, 2023. (arXiv)

Working Papers

1. C. H. Hsieh, "On Drawdown Control Systems," working paper.

2. C. H. Hsieh, "On Positivity for A Class of Uncertain Linear Systems," working paper.

Master Thesis

C. H. Hsieh, Stability and Performance Analysis of Run-to-Run Unified Predictive Control for Semiconductor Manufacturing Process with Time Delay, Master Thesis, Department of Mechanical Engineering, National Chiao Tung University,  Taiwan, 2009. (Link)

Advisor: An-Chen Lee

Ph.D. Dissertation

C. H. Hsieh, Contributions to the Theory of Kelly Betting with Applications to Stock Trading: A Control-Theoretic Approach, Ph. D. Dissertation, Department of Electrical and Computer Engineering, University of Wisconsin-Madison, USA, 2019. ProQuest Link.

Dissertation Advisor: B. Ross Barmish (co-advised by John A. Gubner)

Committees: John A. Gubner, David P. Brown, James Primbs, and Andreas Seeger.

Co-authors:

• B. Ross Barmish (University of Wisconsin-Madison)

• John A. Gubner (University of Wisconsin-Madison)

• Xin-Yu Wang (Yuanta Financial Holdings)

• Chi-Lin Li (Fifth Third Bank)

• Pei-Ting Wang

• Yi-Shan Wong (Cathay Life Insurance) 

• Sean Warnick (Brigham Young University)

• Anton V. Proskurnikov (Polytechnic University of Turin)

• Simone Formentin (Politecnico di Milano)

• Jing-Sin Liu (Academia Sinica)

• An-Chen Lee (National Yang Ming Chiao Tung University)

• Jia-Long Zhou

• Jhan-Jhih Liou