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A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
Horst, Ulrich, Kreher, DörteVolume:
8
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/15M1024226
Date:
January, 2017
File:
PDF, 661 KB
english, 2017