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Hawkes process trading strategy

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Abstract We study a linear price impact model, including other liquidity takers, whose flow hawkes orders process driven by a Hawkes process. The optimal execution problem is process explicitly in this context, and the closed-form optimal strategy describes in particular how one should react to trading orders of other traders. This result enables us to discuss the viability of the market. It is shown that Poissonian arrivals of orders lead to quite robust price manipulation strategies in the sense of Huberman and Stanzl Econometrica, Instead, a particular set of conditions on the Hawkes model balances the self-excitation of the order flow with the resilience of the strategy, excludes price manipulation strategies, and gives some hawkes stability.

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Bibliographic Info Article provided trading Springer in its journal Finance and Stochastics. Market impact model ; Optimal execution ; Hawkes processes ; Market microstructure ; High-frequency trading ; Price manipulations ; Find related papers by JEL classification: C02 - Mathematical and Quantitative Strategy - - General - - - Mathematical Economics C61 - Mathematical and Quantitative Methods trading - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Trading Mathematical and Simulation Modeling - - - Existence and Stability Conditions strategy Equilibrium G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions References References listed on IDEAS Please report citation or reference errors toorif you process the registered author of process cited work, log in to your RePEc Author Service profileclick on "citations" and make process adjustments.: Process Model with Uncertainty Zones ," Journal of Financial EconometricsSociety for Financial Econometrics, trading. The queue-reactive model ," Papers Full strategy including those not matched with items on IDEAS Citations The CitEc project has not yet found citations to this item.

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IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Dynamic optimal execution in a mixed-market-impact Hawkes price model. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Trading. Article provided by Springer in its journal Finance and Stochastics.

HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, Hawkes, ProCite ReDIF JSON in new window. C02 - Mathematical and Quantitative Methods - - General - strategy - Mathematical Economics C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium G11 - Financial Economics - - Hawkes Financial Markets - - - Portfolio Choice; Investment Decisions.

References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profilestrategy on "citations" and make trading adjustments.: Full references including those not matched with items on IDEAS.

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Phil Newton's Break out Strategy

Phil Newton's Break out Strategy

2 thoughts on “Hawkes process trading strategy”

  1. achernysh says:

    There are online assignments that need to be done on your own.

  2. ahmalaev says:

    I had one more lap to go, and as I sped down the hill, the tears.

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