Optimal market making with persistent order flow. (arXiv:2003.05958v1...
We address the issue of market making on electronic markets when taking into account the self exciting property of market order flow. We consider a market with order flows driven by Hawkes processes...
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The Mathematics of Ted Kaczynski
“Showed amazing potential. Then he moved to Montana, and blew the competition away.” — Sean MaguireContinue reading on Cantorâs Paradise »
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