3 papers
q-fin.CP2025
Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
Luca Lalor, Anatoliy Swishchuk
In this paper, we propose an event-driven Limit Order Book (LOB) model that captures twelve of the most observed LOB events in exchange-based financial markets. To model these even…
q-fin.CP2024
Reinforcement Learning in Non-Markov Market-Making
Luca Lalor, Anatoliy Swishchuk
We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump…
q-fin.MF2024
Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
Luca Lalor, Anatoliy Swishchuk
This paper introduces a jump-diffusion pricing model specifically designed for algorithmic trading and high-frequency trading (HFT). The model incorporates independent jump and dif…