Zero-shot adaptation to order book dynamics
计算工程、金融与科学
2026-05-22 v1 机器学习
摘要
We describe an adaptive market-making architecture that preserves the analytical structure of the Avellaneda--Stoikov framework while introducing a successor measure-style adaptation mechanism. In our paper we keep Avellaneda--Stoikov fast Hamilton--Jacobi--Bellman structure and make it adaptive to changing market regimes and trading objectives. The central idea is to separate market dynamics from the trading objective. The market state determines a low-dimensional set of Avellaneda--Stoikov parameters, while recent realized rewards determine a low-dimensional objective vector. The HJB forward map then converts this objective into optimal bid and ask quotes through a scalarization of future reward features.
引用
@article{arxiv.2605.21707,
title = {Zero-shot adaptation to order book dynamics},
author = {Arip Asadulaev},
journal= {arXiv preprint arXiv:2605.21707},
year = {2026}
}