On Bellman equation in the limit order optimization problem for high-frequency trading
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866911218232459264 |
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| author | Balakaeva, M. I. Veretennikov, A. Yu. |
| author_facet | Balakaeva, M. I. Veretennikov, A. Yu. |
| contents | An approximation method for construction of optimal strategies in the bid \& ask limit order book in the high-frequency trading (HFT) is studied. The basis is the article by M. Avellaneda \& S. Stoikov 2008, in which certain seemingly serious gaps have been found; in the present paper they are carefully corrected. However, a bit surprisingly, our corrections do not change the main answer in the cited paper, so that, in fact, the gaps turn out to be unimportant. An explanation of this effect is offered. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_15988 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On Bellman equation in the limit order optimization problem for high-frequency trading Balakaeva, M. I. Veretennikov, A. Yu. Trading and Market Microstructure Probability Mathematical Finance 60H10, 93E20, 93E15 An approximation method for construction of optimal strategies in the bid \& ask limit order book in the high-frequency trading (HFT) is studied. The basis is the article by M. Avellaneda \& S. Stoikov 2008, in which certain seemingly serious gaps have been found; in the present paper they are carefully corrected. However, a bit surprisingly, our corrections do not change the main answer in the cited paper, so that, in fact, the gaps turn out to be unimportant. An explanation of this effect is offered. |
| title | On Bellman equation in the limit order optimization problem for high-frequency trading |
| topic | Trading and Market Microstructure Probability Mathematical Finance 60H10, 93E20, 93E15 |
| url | https://arxiv.org/abs/2510.15988 |