4 papers
Market Simulation under Adverse Selection
Luca Lalor, Anatoliy Swishchuk
In this paper, we study the effects of fill probabilities and adverse fills on the trading strategy simulation process. We specifically focus on a stochastic optimal control market…
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…
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…
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…