2 papers
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…
q-fin.TR2025
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…