7 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…
Functional Laws of Large Numbers for Marked Hawkes Processes and Compound Marked Hawkes Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz iewÈ©gÅowski +1
We give functional laws of large numbers for a class of marked Hawkes processes and marked compound Hawkes processes with a general mark space. Our results provide some complement…
Self-Exciting Random Evolutions (SEREs) and their Applications (Version 2)
Anatoliy Swishchuk
This paper is devoted to the study of a new class of random evolutions (RE), so-called self-exciting random evolutions (SEREs), and their applications. We also introduce a new rand…
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…