Research

Overview of My Research

I develop theories and algorithms for stochastic trading systems that are robust against various risks and uncertainties. 

1. On Robust Optimal Trading: Algorithms and Systems

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.(arXiv)

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

3. 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. (arXiv); (DOI)

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, "On Asymptotic Log-Optimal Portfolio Optimization," Automatica, vol. 151, pp. 110901:1 - 110901:11, 2023. (arXiv); (DOI)

6. 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. (arXiv); (DOI)

7. 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. (arXiv)

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

2022 and before

9. C. H. Hsieh, "On Robustness of Double Linear Trading with Transaction Costs," IEEE Control Systems Letters, vol. 7, pp. 679-684, 2022. (arXiv); (DOI)

10. 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. (arXiv). (DOI)

11. 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. (arXiv); (DOI)

12. C. H. Hsieh, "On Robust Optimal Linear Feedback Stock Trading," submitted for possible publication, 2021. (arXiv)

13. 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.  (arXiv); (DOI)

14. 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. (arXiv); (DOI)

15. 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. (arXiv); (DOI)

16. 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. (arXiv); (DOI)

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

3. General Trading Systems

1. 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)

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

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

4. 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.  (arXiv); (DOI) 

4. On Betting Theory and Algorithms

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, forthcoming, 2025. (arXiv)

2. 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. (arXiv); (DOI)

3. 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. (arXiv); (DOI) 

4. 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. (arXiv); (DOI) 

5. Other Control Applications

1. C. H. Hsieh, "On Robust Economic Control of Epidemics with Application to COVID-19," IEEE Access, vol. 9, pp. 167948-167958, 2021. (arXiv); (DOI)

2. 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. (DOI)

3. 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.

4. 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.

6. Other Financial and Management Applications 

1. 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)

2. Asset Pricing Theory with Ambiguity (with Prof. Po-Hsuan Hsu)

3. Hiring Problem in Human Resource (with Prof. Po-Hsuan Hsu)