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An Impulse Control Approach to Market Making in a Hawkes LOB Market

https://doi.org/10.2139/ssrn.5353913
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Market Making via Reinforcement Learning
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Markov Decision Processes with Applications to Finance
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Extensions of the deep Galerkin method
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DGM: A deep learning algorithm for solving partial differential equations
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Non-local Hamilton–Jacobi–Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes
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High-frequency trading in a limit order book
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Optimal high-frequency trading with limit and market orders
inferredcites →https://doi.org/10.1093/amrx/abw007openalex-snapshot
Optimal Real-Time Bidding Strategies
inferredcites →https://doi.org/10.1109/lcsys.2022.3166446openalex-snapshot
Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model
inferredcites →https://doi.org/10.1137/20m1376054openalex-snapshot
Optimal Market Making with Persistent Order Flow
inferredcites →https://doi.org/10.1142/s0219024913500258openalex-snapshot
A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
inferredcites →https://doi.org/10.1201/b21350openalex-snapshot
The Financial Mathematics of Market Liquidity
inferredcites →https://doi.org/10.2139/ssrn.1871969openalex-snapshot
Optimal High Frequency Trading with Limit and Market Orders
inferredcites →https://doi.org/10.2139/ssrn.2504061openalex-snapshot
Applied Stochastic Control in High Frequency and Algorithmic Trading
inferredcites →https://doi.org/10.2139/ssrn.4983810openalex-snapshot
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
inferredcites →https://doi.org/10.3390/math9212689openalex-snapshot
Reinforcement Learning Approaches to Optimal Market Making
inferredcites →https://doi.org/10.3934/mcrf.2024038openalex-snapshot
Stochastic control for diffusions with self-exciting jumps: An overview
inferredcites →https://doi.org/10.4230/oasics.dx.2024.16openalex-snapshot
Diagnosing Non-Intermittent Anomalies in Reinforcement Learning Policy Executions (Short Paper)
inferredcites →https://doi.org/10.48550/arxiv.2205.15953openalex-snapshot
Timing is Everything: Learning to Act Selectively with Costly Actions and Budgetary Constraints
inferredcites →https://doi.org/10.48550/arxiv.2312.08927openalex-snapshot
Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process
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