Kiseop Lee

A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement

We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model. The model tracks four types of best-quote movements: spread-narrowing movements are switched off when the spread is at its one-tick minimum, and a cross-side excitation term, whose activation depends on the prevailing...