4 papers
When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making
Ali Raza Jafree, Konark Jain, Nick Firoozye
We investigate the mechanisms by which medium-frequency trading agents are adversely selected by opportunistic high-frequency traders. We use reinforcement learning (RL) within a H…
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…
(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies
Daniel Cunha Oliveira, Grover Guzman, Nick Firoozye
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio op…
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…