WebJul 20, 2024 · The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes process-based limit order book simulator to obtain market making controls. WebJan 10, 2024 · Hawkes processes have been applied to characterize clustering events in finance, particularly to high-frequency data and market microstructure [ 3, 4 ], because many types of events are clustered in time such as order submissions [ 5 ], mid-quotes changes [ 6 ], transactions [ 7] and extreme returns occurrences [ 8 ].
Hawkes Processes in Finance Market Microstructure and Liquidity
WebApr 11, 2024 · The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this letter, a deep reinforcement learning-bas … WebJul 20, 2024 · The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes process-based limit order book simulator to obtain market making controls. The proposed approach leverages the ... hightecs
Optimal liquidation problem in illiquid markets
WebAug 1, 2002 · However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called “volatility smile” in option markets. Webmost recent control algorithms leveraging temporal point processes—the control policy is an intensity function, often stochastic, which characterizes a temporal point process used as … Weboptimal control in the prescribed class of controls. The dif cult problem of the existence of an optimal control shall be further discussed in 3.3. Another important topic is to actually nd an optimal control for a given problem, i.e., give a ‘recipe’ for operating the system in such a way that it satis es the constraints in an optimal manner. small shoulder bag for phone