The Optimal Control Strategies for the Control System with Prices Long-Term Volatility in Stock Markets

ZOU Huiwen

Journal of Systems Science and Mathematical Sciences ›› 2010, Vol. 30 ›› Issue (8) : 1081-1101.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2010, Vol. 30 ›› Issue (8) : 1081-1101. DOI: 10.12341/jssms09246
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The Optimal Control Strategies for the Control System with Prices Long-Term Volatility in Stock Markets

  • ZOU Huiwen
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Abstract

The random optimal control of the control system with prices long-term volatility in stock markets is discussed. The control system model of prices long-term volatility in stock markets is established. To make the stocks price and the inherent value develop in accordance with the expecting target of people, the random optimal control strategies were discussed. The performance index makes the system output tracks the estimate value of stocks intrinsic value and the adjustment and control range be as small as possible. The related formula and calculating process of the optimal control strategy were given, and the calculating process with consideration of system performance was given. The main conclusions are that when the equilibrium regress adjustment of stocks intrinsic value on stocks price is not enough or investors are optimistic for the increment expectation of the prophase stocks intrinsic value, the functions in the optimal control strategies will be strengthened; however, when the equilibrium regress adjustment of stocks intrinsic value on stocks price is excessive, and investors are pessimistic for
the increment expectation of the prophase value, the functions in the optimal control strategies will be weakened. These results can provide the theoretic basis for improving government's supervision on stock markets and list companies.

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Stock prices volatility / control system / random optimal control.

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ZOU Huiwen. The Optimal Control Strategies for the Control System with Prices Long-Term Volatility in Stock Markets. Journal of Systems Science and Mathematical Sciences, 2010, 30(8): 1081-1101 https://doi.org/10.12341/jssms09246
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