3 citations · 8 across the 17 of their papers we have counts for
22 papers
Functional Laws of Large Numbers for Marked Hawkes Processes and Compound Marked Hawkes Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz iewȩgłowski +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…
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…
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…
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…
Variance-Hawkes Process and its Application to Energy Markets
Joshua McGillivray, Anatoliy Swishchuk
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, varia…
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…