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math.PR2025
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…
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…