Hawkes Process Fill Modeling FAQs

Question 1

Can the model update its parameters in real-time?

Accepted Answer

Yes, it includes an OnlineHawkesEstimator that performs stochastic gradient updates to parameters like baseline intensity as new fills are observed.

Question 2

How does this skill improve upon standard kappa estimation?

Accepted Answer

Standard kappa often uses simple frequency-based averages. This skill incorporates exchange state, queue position, and self-excitation, leading to much more accurate real-time fill predictions.

Question 3

Is this model specific to the Hyperliquid exchange?

Accepted Answer

While it includes specific extensions for Hyperliquid features like funding and open interest, the core Hawkes architecture can be adapted for any central limit order book exchange.

Question 4

What is a Hawkes process in the context of trading?

Accepted Answer

A Hawkes process is a self-exciting point process where past events (trades) increase the probability of future events, effectively modeling how trades cluster together in time.

Question 5

How do I validate the accuracy of the fill model?

Accepted Answer

The skill includes validation methods to compute Brier scores and calibration curves, ensuring your fill predictions align with actual market outcomes.

Hawkes Process Fill Modeling

주요 기능

사용 사례

Hawkes Process Fill Modeling

주요 기능

사용 사례