{"paper":{"title":"Optimal Trading of Microstructure Mean Reversion","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"q-fin.TR","authors_text":"Lucas Rabechini Amaral","submitted_at":"2026-08-01T22:23:23Z","abstract_excerpt":"At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price. We build an order book whose own flow produces that error and solve for the trading rule that maximises the long-run average profit rate net of the bid-ask spread. In a liquid large-tick asset the spread is one tick or two, and it is exactly the parity of the mid on the half-tick grid: tight at a half-integer, open at an integer. One coordinate therefore carries the problem: the gap $G$ between the mid and the efficient price; the price is an exogenous Brownian martingale, and $"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2608.00885","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2608.00885/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}