Trading in a Hawkes Flocking LOB Model

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In this work, we model the dynamics of the Best Bid and Ask price of a financial asset using the Hawkes-flocking model and study the optimal placement problem under the model. The Hawkes flocking model is modified version of multivariate Hawkes process with flocking mechanism, derived from a stochastic Cucker-Smale flocking system. Under this price process model, we study the optimal order placement problem: the trader makes its decision at discrete time points until time T to maximize its cash flow under restrictions. We derive the solution under different market regimes.