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q-fin.CP2025★ 1 cited
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…
q-fin.CP2024★ 3 cited
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…
q-fin.CP2024
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…