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~subject:"limit order book"
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limit order book
diffusion limit
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1
Price Dynamics in a Markovian Limit Order Market
Cont, Rama
;
Larrard, Adrien De
-
HAL
-
2013
the price, conditional on the state of the order book. We study the
diffusion
limit
of the price process and express the …
Persistent link: https://www.econbiz.de/10010631316
Saved in:
2
Price Dynamics in a Markovian Limit Order Market
Cont, Rama
;
Larrard, Adrien De
-
HAL
-
2010
the price, conditional on the state of the order book. We study the
diffusion
limit
of the price process and express the …
Persistent link: https://www.econbiz.de/10008794238
Saved in:
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