Optimal Liquidation of Perpetual Contracts

By Ryan Donnelly, Junhan Lin, Matthew Lorig

Published 2026-01-15

Everscope rating

1829.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Optimal Control with HJB PDE and Asymptotic Approximations. Problem types: Algorithmic Execution, Optimization, Risk Management.

arXiv:2601.10812 · Paper rankings

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