---
title: Limit Order Book Simulation with Neural Hawkes Process
url: https://www.ml-quant.com/papers/ssrn/5152207/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5152207
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5152207
featured: 2025-03-20
citations: unknown
topic: Trading, Microstructure & Execution
---


# Limit Order Book Simulation with Neural Hawkes Process

The paper suggests an event-driven Limit Order Book model using a Neural Hawkes process to understand the dynamic relationships in financial markets.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5152207
- Identifier: SSRN 5152207
- Released: 2025-02-25
- First featured: Quant Letter No. 89 (2025-03-20): https://www.ml-quant.com/issues/2025-03-20/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

## Related

- [Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making](https://www.ml-quant.com/papers/arxiv/2502.17417/): An event-driven Limit Order Book model using a Neural Hawkes process is proposed to simulate high-frequency dynamics in financial markets, offering a more accurate depiction of trade execution.
- [Algorithmic and high-frequency trading problems for Semi-Markov and Hawkes jump-diffusion models](https://www.ml-quant.com/papers/arxiv/2409.12776/): The paper presents jump-diffusion models to understand limit order book data in algorithmic and high-frequency trading, offering optimal solutions for trading issues within a stochastic optimal control framework.
- [Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process](https://www.ml-quant.com/papers/arxiv/2312.08927/): The research introduces a new method using Compound Hawkes Process to model Limit Order Book dynamics, taking into account order size and maintaining a positive spread.
- [Estimation of an Order Book Dependent Hawkes Process for Large Datasets](https://www.ml-quant.com/papers/arxiv/2307.09077/): A new high-frequency trading model uses a Hawkes process and high-dimensional functions from the order book, capable of handling billions of data points and tested on four NYSE stocks.
- [Trading Problems with Semi-Markov and Hawkes Models](https://www.ml-quant.com/papers/ssrn/4956752/): 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.
- [Robust Market Making with Hawkes Order Flow and Price Impact via Adversarial Reinforcement Learning](https://www.ml-quant.com/papers/arxiv/2609.22785/): The research extends adversarial reinforcement learning for market making to handle self-exciting order arrivals and price impact, using an LSTM module to improve robustness in complex microstructure environments.