Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Ben Hambly, Jasdeep Kalsi and James Newbury
| Year of publication: |
2020
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|---|---|
| Authors: | Hambly, Ben ; Kalsi, Jasdeep ; Newbury, James |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 27.2020, 1/2, p. 132-170
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| Subject: | Limit order books | stochastic partial differential equations | Theorie | Theory | Wertpapierhandel | Securities trading | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Analysis | Mathematical analysis | Marktmikrostruktur | Market microstructure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1758176 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012254111