A SEMI-MARKOV–HAWKES APPROACH TO MANAGING THE MECHANISM OF A SELF-ORGANIZING TRADING SYSTEM

This paper proposes an integrated approach based on Semi-Markov and Hawkes processes to model the internal mechanisms of a self-organizing trading system. Traditional market microstructure models typically analyze either the irregularity of inter-trade durations or the mutual excitation effects between trades. In this study, to more accurately capture real market dynamics, a unified probabilistic framework incorporates stochastic inter-trade durations, clustering of trading intensity, daily trading patterns, trade volume, and location factors.

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