activity
20232025
most citedLimit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process

3 citations · 3 across the 4 of their papers we have counts for

collaborators
Showing 2025Show all

1 paper · 1 filter

q-fin.TR2025

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…