Implicit Numerical Scheme for the Hamilton–Jacobi–Bellman Quasi-Variational Inequality in the Optimal Market-Making Problem with Alpha Signal

By Alexey Meteykin

Published 2025-12-24

Everscope rating

1736.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Implicit Time-Discretization Scheme with Policy Iteration. Problem types: Market Making, Optimization, Risk Management, Stochastic Control, Impulse Control.

arXiv:2512.20850 · Paper rankings

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