Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Ben Hambly, Jasdeep Kalsi and James Newbury
| Year of publication: |
2020
|
|---|---|
| Authors: | Hambly, Ben ; Kalsi, Jasdeep ; Newbury, James |
| Subject: | Limit order books | stochastic partial differential equations | Theorie | Theory | Wertpapierhandel | Securities trading | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Analysis | Mathematical analysis | Volatilität | Volatility |
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