Optimal Trading of Microstructure Mean Reversion

By Lucas Rabechini Amaral

Published 2026-08-01

Everscope rating

2016.2

Relevance to quantitative trading

9 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Optimal Switching with Gaussian Surrogate. Problem types: Optimization, Market Making, Algorithmic Execution, Pairs Trading.

arXiv:2608.00885 · Paper rankings

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