Scholars release paper on optimal quoting in order books with state-dependent Hawkes processes
Get up to speed
Jonathan Chávez Casillas and Li Gan released a quantitative finance working paper studying the optimal quote placement problem for market makers. They model order flow as a state-dependent Hawkes process, combining a piecewise linear demand setup with a continuous-time discrete-state dynamic programming framework to derive backward recursions for the coefficients of a quadratic value function for inventory-dependent quotes under quadratic terminal inventory penalties. Numerical experiments based on LOBSTER data show that the strategy yields higher total terminal wealth than a fixed-spread benchmark at 1 and 3 tick sizes, but lower at 2 tick sizes.
AI-generated from reports · 2 hr agoUpdated
Coverage timeline
Follow the coverage to understand different sides of the event.
- arXiv q-finOptimal Order Placement in a Limit Order Book Model with State-Dependent Hawkes Processes
This study addresses the optimal quote placement problem for market makers, modeling order flow as a state-dependent Hawkes process. Combining a piecewise linear demand setting with a continuous-time discrete-state dynamic programming framework, it derives backward recursions for quadratic value function coefficients of inventory-dependent quotes under quadratic terminal inventory penalties. Numerical experiments based on LOBSTER data show that this strategy achieves higher total terminal wealth than fixed-spread benchmarks at 1 and 3 ticks, but lower at 2 ticks.
Trend of this event
- Comparable range current
- 9
- Comparable range peak
- 928 Oct 15:00
- Change in last 24 hours
- –
Trend compares only entities observed continuously and completely, so the range may be smaller than the current heat count. Hover or tap the chart for hourly heat; use left/right arrow keys.