Second order approximations for limit order books
Year of publication: |
October 2018
|
---|---|
Authors: | Horst, Ulrich ; Kreher, Dörte |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 4, p. 827-877
|
Subject: | Functional central limit theorem | Second order approximation | High-frequency limit | Limit order book |
-
Order book dynamics in liquid markets: limit theorems and diffusion approximations
Cont, Rama, (2011)
-
Interest Rate Rules and Welfare in Open Economies
Senay, Ozge, (2007)
-
Bergin, Paul, (2005)
- More ...
-
Bubbles in discrete-time models
Herdegen, Martin, (2022)
-
Conditional Analysis and a Principal-Agent problem
Backhoff, Julio, (2014)
-
Convergence of locally and globally interacting Markov chains
Föllmer, Hans, (2001)
- More ...