Market Making and Transient Impact in Spot FX

By Alexander Barzykin

Published 2026-01-17

Everscope rating

1791.4

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Optimal Control with Quadratic Approximation. Problem types: Market Making, Algorithmic Execution, Risk Management, Optimization, Stochastic Control.

arXiv:2601.13421 · Paper rankings

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