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Scaling Limit of a Limit Order Book Model via the...

Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees

Lakner, Peter, Reed, Josh, Simatos, Florian
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Volume:
7
Language:
english
Journal:
Stochastic Systems
DOI:
10.1287/stsy.2017.0005
Date:
December, 2017
File:
PDF, 529 KB
english, 2017
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