Zero-shot adaptation to order book dynamics

Arip Asadulaev

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arXiv · 2605.21707

Zero-shot adaptation to order book dynamics

Arip Asadulaev

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Abstract

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.

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Arip Asadulaev. 2026-05-20. Zero-shot adaptation to order book dynamics. https://arxiv.org/abs/2605.21707

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