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

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Highly relevant for high-frequency trading and market making. It provides a rigorous statistical framework for modeling best-quote dynamics and derives actionable closed-form solutions for optimal order sizing based on predicted event probabilities.

Implementing the O(N) recursive likelihood and handling the state-dependent gating requires careful programming. The multi-start optimization for parameter estimation adds computational overhead. Deriving the closed-form optimal order size involves complex algebraic manipulation of the intensity functions.

The paper provides detailed mathematical formulations, algorithmic steps for O(N) likelihood evaluation, and simulation parameters. It uses publicly available LOBSTER data. However, specific code implementation is not explicitly linked in the text provided.