3 citations · 3 across the 4 of their papers we have counts for
4 papers · 1 filter
An Impulse Control Approach to Market Making in a Hawkes LOB Market
Konark Jain, Nick Firoozye, Jonathan Kochems +1
We study the optimal Market Making problem in a Limit Order Book (LOB) market simulated using a high-fidelity, mutually exciting Hawkes process. Departing from traditional Brownian…
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…
Limit Order Book Simulations: A Review
Konark Jain, Nick Firoozye, Jonathan Kochems +1
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary fo…
Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process
Konark Jain, Nick Firoozye, Jonathan Kochems +1
Hawkes Process has been used to model Limit Order Book (LOB) dynamics in several ways in the literature however the focus has been limited to capturing the inter-event times while…