On Bellman equation in the limit order optimization problem for high-frequency trading

By M.I. Balakaeva, A.Yu. Veretennikov

Published 2025-10-13

Everscope rating

1435.3

Relevance to quantitative trading

9 / 10

Implementation complexity

4 / 10

Reproducibility

4 / 5

About this paper

Methodology: Dynamic Programming with Asymptotic Expansion. Problem types: Market Making, Optimization, Algorithmic Execution, Stochastic Control.

arXiv:2510.15988 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.