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

Authors

  • Karakalpakstan Branch of the Academy of Sciences of Uzbekistan, Research Institute of Natural Sciences
  • Karakalpakstan Branch of the Academy of Sciences of Uzbekistan, Research Institute of Natural Sciences

DOI:

https://doi.org/10.60078/2026-vol5-iss3-pp384-387

Abstract

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.

References

1. Rambaldi, M., Bacry, E., Lillo, F. Modeling market microstructure with Hawkes processes. Quantitative Finance, 2017y., 17(7), 999–1020.

2. Sornette, D. Self-organization in financial markets. Springer Complexity. 2014y.

3. Swishchuk, A. Semi-Markov models for financial markets. Springer. 2013y.

4. Daley, D. J., Vere-Jones, D. An Introduction to the Theory of Point Processes: 2003y., Volume I–II. Springer.

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How to Cite

A SEMI-MARKOV–HAWKES APPROACH TO MANAGING THE MECHANISM OF A SELF-ORGANIZING TRADING SYSTEM. (2026). Editions, 5(3), 384-387. https://doi.org/10.60078/2026-vol5-iss3-pp384-387

Issue

Vol. 5 No. 3 : The V International Scientific and Practical Conference entitled “Priority areas, current trends and prospects for the development of the financial market”

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Articles

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