A diffusion approximation for limit order book models

Stochastic Processes and their Applications 2018 / 12

A diffusion approximation for limit order book models

Horst, Ulrich, Kreher, Dörte
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Language:
english
Journal:
Stochastic Processes and their Applications
DOI:
10.1016/j.spa.2018.11.023
Date:
December, 2018
File:
PDF, 1.10 MB
english, 2018
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