B. Ross Barmish

Professor

3613 Engineering Hall
1415 Engineering Drive
Madison, WI 53706

barmish@engr.wisc.edu


Profile Summary

B. Ross Barmish received the Bachelor's degree in Electrical Engineering from McGill University in 1971. In 1972 and 1975 respectively, he received the M.S. and Ph.D. degrees, both in Electrical Engineering, from Cornell University. From 1975 to 1978, he served as Assistant Professor of Engineering and Applied Science at Yale University. From 1978 to 1984, he was as an Associate Professor of Electrical Engineering at the University of Rochester and in 1984, he joined the University of Wisconsin, Madison, where he is currently Professor of Electrical and Computer Engineering. From 2001 to 2003, he was with the Department of Electrical Engineering and Computer Science at Case Western Reserve University, where he served as Department Chair while holding the Nord Professorship. To date, he has graduated 12 doctoral students and is currently supervising two students who are working on their dissertations.

Over the years, he has been involved in a number of IEEE Control Systems Society activities such as associate editorships, conference chairmanships and prize paper committees. He has also served as a consultant for a number of companies and is the author of the textbook "New Tools for Robustness of Linear Systems," Macmillan, 1994. Regarding his personal life, B. Ross Barmish is married and pursues a number of outdoor activities which include long-distance running, biking and cross-country skiing.

Selected Awards, Honors and Societies: Professor Barmish is a Fellow of both the IEEE and IFAC for his contributions to the theory of robustness of dynamical systems. He received the Best Paper Award for Journal Publication on two consecutive occasions from the International Federation of Automatic Control. The first award, covering the period 1986-1989, was presented at the IFAC World Congress, Tallin, Estonia. The second award, covering the period 1990-1992, was presented at the IFAC World Congress, Sydney, Australia. Professor Barmish has also given a number of plenary addresses at conferences and has received consistent NSF funding throughout his career. He is a past recipient of  the College of Engineering Byron Byrd Award for Excellence in Research Publication and has recently been named by the IEEE Control Systems Society as the winner of the 2013 Bode Prize. In conjunction with the award, he provided a Keynote Plenary at the 2013 IEEE Conference on Decision and Control, held in Florence, Italy, in December 2013.

Education

  • Ph.D. 1975 Cornell University, Electrical Engineering
  • M.S. 1972 Cornell University, Electrical Engineering
  • B.S. 1971 McGill University, Electrical Engineering

Research Interests

  • Modelling of Financial Markets
  • Algorithmic Trading Systems
  • Optimization and Convexity
  • Applied Probability
  • Computational Complexity
  • Robustness of Systems
  • Feedback Control Systems
  • Applied Mathematics
  • Uncertain Dynamical Systems

Awards, Honors and Societies

Professor Barmish is a Fellow of both the IEEE and IFAC for his contributions to the theory of robustness of dynamical systems. He received the Best Paper Award for Journal Publication on two consecutive occasions from the International Federation of Automatic Control. The first award, covering the period 1986-1989, was presented at the IFAC World Congress, Tallin, Estonia. The second award, covering the period 1990-1992, was presented at the IFAC World Congress, Sydney, Australia. Professor Barmish has also given a number of plenary addresses at major conferences and has received consistent NSF funding throughout his career. He is a past recipient of  the College of Engineering Byron Byrd Award for Excellence in Research Publication and has recently been named by the IEEE Control Systems Society as the winner of the 2013 Bode Prize. In conjunction with award, he provided a Keynote Plenary at the 2013 IEEE Conference on Decision and Control, held in Florence, Italy, in December 2013.  

 LINK: My Bode Lecture Slides, Florence, Italy, December 13, 2013

 

Publications

  • Over  250 journal and conference publications.
  • Textbook: New Tools for Robustness of Linear Systems, Prentice Hall.
  • See \"Links\" section for some recent downloadable publications
  • Google Scholar Citations to my Articles

                                                      

Selected Recent Publications

B. R. Barmish and J. A. Primbs, \"Stock Trading Via Feedback Control,\" to appear in Encyclopedia of Systems and Control, Springer Reference, 2014.

S. Malekpour, J. A. Primbs and B. R. Barmish, On Stock Trading Using a PI Controller in an Idealized Market: The Robust Positive Expectation Property,\" Proceedings of the IEEE Conference on Decision and Control, Florence, Italy, 2013. 

S. Malekpour and B. R. Barmish, A Drawdown Formula for Stock Trading Via Linear Feedback in a Market Governed by Brownian Motion, Proceedings of the European Control Conference, Zurich, Switzerland, 2013. 

J. A. Primbs and B. R. Barmish, \'\'On Stock Trading: Can a Trend Follower Expect to Win?\'\' paper at Midwest Finance Association Conference, Chicago, 2013. 

B. R. Barmish and J. A. Primbs, \"On Market-Neutral Stock Trading Arbitrage Via Linear Feedback,\'\' Proceedings of the  American Control Conference, pp. 3693-3698, Montreal, Canada, 2012. 

J. A. Primbs and B. R. Barmish, \'\'An Introduction to Hedged-Like Stock Trading from a Control Theoretic Point of View,\'\' Proceedings of the  American Control Conference, pp. 4496-4497, Montreal,  Canada, 2012. 

S. Malekpour and B. R. Barmish, \"How Useful are Mean-Variance Considerations in Stock Trading via Feedback Control?\'\' Proceedings of the IEEE Conference on Decision and Control, pp. 2110-2115, Maui, 2012. 

 B. R. Barmish, \"On Performance Limits of Feedback Control-Based Stock Trading Strategies, Proceedings of the American Control Conference, pp. 3874-3879, San Francisco, 2011.

J. A. Primbs and B. R. Barmish, \"An Introduction to Option Trading from a Control Perspective,\" Proceedings of the American Control Conference, San Francisco, 2011. 

S. Iwarere and B. R. Barmish, \"A Confidence Interval Triggering Method for Stock Trading via Feedback Control,\'\' Proceedings of the American Control Conference, pp. 6910-6916, Baltimore, 2010.

B. R. Barmish, \"On Trading of Equities: A Robust Control Paradigm,\'\' Proceeding of the IFAC World Congress, pp. 1621-1626, Seoul, Korea, 200

 

 

 

Links

Recent Talks

B. R. Barmish, \"Can Control Science Bring New Insights to Stock Trading Research?\" Bode Lecture,  IEEE Conference on Decision and Control, Florence, Italy, December 2013.

B. R. Barmish,  \"How Control Theory Can Contribute to Stock Trading Research,\" College of Engineering Control Seminar, University of Michigan, Ann Arbor, November 2013.

B. R. Barmish, \"On Stock Trading Research: What Control Theory Can Bring to the Table,\" Decision and Control Seminar Series, University of Illinois, October 2013.

B. R. Barmish, \"On a Niche for Control Theory in the World of Stock Trading,\" International Symposium on Systems and Control, Technion, Israel Institute of Technology, Haifa, Israel, October 2013.

B. R. Barmish,  \"From Bathtubs to Stock Market Trend Traders: The Power of Adaptive Feedback Loops,\'\' Distinguished Lecture Series, invited multi-departmental lecture in Engineering , Mathematics, Statistics Economics and Finance, University of North Carolina, Charlotte,  March 2013. To  view this lecture,  set timer timer to 7:39 and use screen capture at http://pancap-web01.uncc.edu/Panopto/Pages/Viewer/Default.aspx?id=bd449210-611e-4e5c-8cf7-4c7c4549e600

B. R. Barmish, \"On the Power of Linear Feedback Control in an Idealized Stock Market,\'\' ECE Department, University of Iowa, Iowa City, October 2012.

B. R. Barmish, \"Can Feedback Control-Based Trading Strategies Beat the Stock Market?\'\'  Department of Systems Engineering, University of Texas, Richardson, September 2012.

B. R. Barmish \"On the Use of Feedback Control Concepts in Financial Markets,\'\'  Xerox Research Center, Webster, September 2012.

B. R. Barmish, \"Control Opportunities in Modern Finance,\'\' in Special Session organized by Xerox Corporation,  American Control Conference, Montreal, Canada, June 20

View of Portfolio Management

To bring water in a bathtub to a desired temperature a specialist in feedback control systems, and for that matter, a lay person as well, might ridicule the notion that expertise is required in thermodynamic fluid modelling. With an  adequate sensor, namely a hand in the water, and adequate actuator, namely a hand on the faucet, the following simple adaptive feedback rule will generally suffice: \"If the bathtub water is too hot, add cold water. If the bathtub water is too cold, add hot water.\'\' An adaptive feedback loop based on this simple temperature trend-following principle will typically be nimble enough to handle rather unpredictable water inflows. In the parlance of feedback control theory, this is is called robust performance.

My view of stock trading, or more generally portfolio management, is much the same as the one given for the bathtub scenario above. That is, we seek to achieve robust performance via adaptive trend following with respect to profits and losses rather than using any type of model for asset prices. Whereas adaptive control for the bathtub is achieved via adjustment of inflows and outflows based on the water temperature trend, in the case of stock trading, the amount of money invested in a stock is adapted over time based on the profit-loss trend.

Much of my current research which is aimed at shedding light on the following simply-stated conundrum: Why is it that so many asset managers, hedge funds and small independent investors use trend-following methods despite the existence of a significant body of literature claiming that such \"technical methods\'\' are of questionable worth with little or no theoretical rationale? Additional motivation for our adaptive and model-free point of view is provided by some dramatic failures of classical market models between 2000 and 2010. For example, both the geometric Brownian motion and covariance models underlying the celebrated Black-Scholes and Markowitz theories fell apart during the two recent market crashes.

 

To bring water in a bathtub to a desired temperature, a specialist in feedback control systems, and for that matter, a lay person as well, might ridicule the notion that expertise is required in thermodynamic fluid modelling. With an  adequate sensor, namely a hand in the water, and adequate actuator, namely a hand on the faucet, the following simple adaptive feedback rule will generally suffice: \"If the bathtub water is too hot, add cold water. If the bathtub water is too cold, add hot water.\'\' An adaptive feedback loop based on this simple temperature trend-following principle will typically be nimble enough to handle rather unpredictable water inflows. In the parlance of feedback control theory, this is is called robust performance.

My view of stock trading, or more generally portfolio management, is much the same as the one given for the bathtub scenario above. That is, we seek to achieve robust performance via adaptive trend following with respect to profits and losses rather than using any type of model for asset prices. Whereas adaptive control for the bathtub is achieved via adjustment of inflows and outflows based on the water temperature trend, in the case of stock trading, the amount of money invested in a stock is adapted over time based on the profit-loss trend.

Much of my current research which is aimed at shedding light on the following simply-stated conundrum: Why is it that so many asset managers, hedge funds and small independent investors use trend-following methods despite the existence of a significant body of literature claiming that such \"technical methods\'\' are of questionable worth with little or no theoretical rationale? Additional motivation for our adaptive and model-free point of view is provided by some dramatic failures of classical market models between 2000 and 2010. For example, both the geometric Brownian motion and covariance models underlying the celebrated Black-Scholes and Markowitz theories fell apart during the two recent market crashes.

Press, Media, Miscellany

 

 

 

Courses

Summer 2014

  • ECE 790 - Master\'s Research or Thesis

  • ECE 719 - Optimal Systems
  • ECE 699 - Advanced Independent Study
  • ECE 399 - Independent Study
  • ECE 332 - Feedback Control Systems
  • ECE 990 - Research or Thesis
  • ECE 890 - Pre-Dissertator\'s Research
  • ECE 699 - Advanced Independent Study
  • ECE 399 - Independent Study
  • ECE 999 - Advanced Independent Study
  • ECE 990 - Research or Thesis
  • ECE 890 - Pre-Dissertator\'s Research
  • ECE 817 - Nonlinear Systems
  • ECE 790 - Master\'s Research or Thesis
  • ECE 699 - Advanced Independent Study
  • ECE 990 - Research or Thesis
  • ECE 890 - Pre-Dissertator\'s Research
  • ECE 790 - Master\'s Research or Thesis
  • Profile Summary

    B. Ross Barmish received the Bachelor\'s degree in Electrical Engineering from McGill University in 1971. In 1972 and 1975 respectively, he received the M.S. and Ph.D. degrees, both in Electrical Engineering, from Cornell University. From 1975 to 1978, he served as Assistant Professor of Engineering and Applied Science at Yale University. From 1978 to 1984, he was as an Associate Professor of Electrical Engineering at the University of Rochester and in 1984, he joined the University of Wisconsin, Madison, where he is currently Professor of Electrical and Computer Engineering. From 2001 to 2003, he was with the Department of Electrical Engineering and Computer Science at Case Western Reserve University, where he served as Department Chair while holding the Nord Professorship. To date, he has graduated 12 doctoral students and is currently supervising two students who are working on their dissertations.

    Over the years, he has been involved in a number of IEEE Control Systems Society activities such as associate editorships, conference chairmanships and prize paper committees. He has also served as a consultant for a number of companies and is the author of the textbook "New Tools for Robustness of Linear Systems," Macmillan, 1994. Regarding his personal life, B. Ross Barmish is married and pursues a number of outdoor activities which include long-distance running, biking and cross-country skiing.

    Selected Awards, Honors and Societies: Professor Barmish is a Fellow of both the IEEE and IFAC for his contributions to the theory of robustness of dynamical systems. He received the Best Paper Award for Journal Publication on two consecutive occasions from the International Federation of Automatic Control. The first award, covering the period 1986-1989, was presented at the IFAC World Congress, Tallin, Estonia. The second award, covering the period 1990-1992, was presented at the IFAC World Congress, Sydney, Australia. Professor Barmish has also given a number of plenary addresses at conferences and has received consistent NSF funding throughout his career. He is a past recipient of  the College of Engineering Byron Byrd Award for Excellence in Research Publication and has recently been named by the IEEE Control Systems Society as the winner of the 2013 Bode Prize. In conjunction with the award, he provided a Keynote Plenary at the 2013 IEEE Conference on Decision and Control, held in Florence, Italy, in December 2013.


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