Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees
Lakner, Peter, Reed, Josh, Simatos, FlorianVolume:
7
Language:
english
Journal:
Stochastic Systems
DOI:
10.1287/stsy.2017.0005
Date:
December, 2017
File:
PDF, 529 KB
english, 2017