SSRNTrading, Microstructure & Execution
Trading Problems with Semi-Markov and Hawkes Models
The article explores the creation of advanced trading algorithms that replicate Limit Order Book data, with a focus on semi-Markov and Hawkes jump-diffusion models for high-frequency trading.
Featured in No. 66 on 18 Sep 2024 · 4 days after release
- Released
- 14 Sep 2024
- First featured
- No. 66 · 18 Sep 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4956752
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).