Under a mean-reverting order-book model, the optimal strategy is a symmetric band with half-width solving theta*(theta* - phi) = s_G^2 and earning rate alpha s_G sqrt(2/pi) exp(-theta*^2 / (2 s_G^2)).
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Optimal Trading of Microstructure Mean Reversion
Under a mean-reverting order-book model, the optimal strategy is a symmetric band with half-width solving theta*(theta* - phi) = s_G^2 and earning rate alpha s_G sqrt(2/pi) exp(-theta*^2 / (2 s_G^2)).