arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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1 result for “time-to-first-fill”

Transform Analysis for Hawkes Processes with Applications in Dark Pool Tradingq-fin.TR

The paper models trades in dark pools using Hawkes processes.

problem Modeling clustered trades in dark pools.

method Developed a non-Markovian Hawkes process with time-dependent baseline intensity.

result Obtained closed-form formulas for the Hawkes process.

Hawkes processes dark pools clustered trades time-to-first-fill time-to-complete-fill

2017-10-04abs ↗pdf ↗