Woodbury's Research Invited to INFORMS

November 3, 2015

When Dr. Warnick was invited to participate in a special session at the 2015 Annual Meeting of the Institute for Operations Research and the Management Sciences (INFORMS) in Philadelphia, it was Nathan Woodbury’s work he wanted to showcase. Woodbury, a Ph.D. student in the IDeA Labs at BYU, is conducting research related to the modeling and analysis of financial markets. The presentation, entitled, “Backtesting Simultaneous Long-Short and Proportional-Integral Investment Schemes,” empirically tested the efficacy of a trading scheme developed by Professors Bob Barmish (University of Wisconsin) and Jim Primbs (CalState Fullerton). The scheme uses feedback control concepts to formalize a “momentum” strategy used by technical traders, and it comes with strong theoretical guarantees in idealized markets. Woodbury demonstrated situations where the scheme worked well, and situations where the scheme completely failed on historical maket data. Further analysis is part of his ongoing research in the Computational Economics and Financial Systems Lab.