Related papers: Deep Hawkes Process for High-Frequency Market Maki…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the…
Straddle Option is a financial trading tool that explores volatility premiums in high-volatility markets without predicting price direction. Although deep reinforcement learning has emerged as a powerful approach to trading automation in…
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point processes whose defining characteristic is that they…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
Product cannibalisation in the marketplace refers to the decrease in the sales of one product due to competition from another product. We examine this phenomenon in a wholesale data set provided by an international company. We use a…
This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
This paper studies real-time bidding mechanisms for economic dispatch and frequency regulation in electrical power networks. We consider a market administered by an independent system operator (ISO) where a group of strategic generators…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected onto a tractable representation based on spread and volume…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems. The research culminates in three main contributions: the creation of a…