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I Turned a 2025 Mathematical Finance Paper Into a Working MT5 Expert Advisor — And the Equity Curve Has Potential
Javier Santiago Gastón de Iriarte Cabrera20 min read·1 hour ago--
When academic stochastic game theory meets MetaTrader 5, things get interesting.
What if the way market makers quote prices — not indicators, not patterns, not sentiment — is actually the cleanest signal available to a retail trader? That was the question I started asking after reading a paper published in Mathematical Finance just weeks ago.
The paper is called “Macroscopic Market Making Games” by Ivan Guo and Shijia Jin (Monash University, 2025). It appeared in volume 36, pages 352–373, and it does something rare: it solves, mathematically, how rational market makers should compete with each other — and in doing so, it reveals exactly how price impact is generated and how quotes should move.
I built an Expert Advisor for MT5 based on it. I’ll show you how the model works, what I translated into code, and why I think this approach — with the right optimization — has a real ascending equity slope hidden inside it.
The Problem the Paper Solves
Traditional market making models (Avellaneda–Stoikov, 2008) assume each market maker prices against a reference price — ignoring what competitors are doing. The macroscopic model fixes this.
In Guo & Jin’s framework, N market makers compete simultaneously. Each market maker i quotes:
