ABERGEL, FRÉDÉRIC; JEDIDI, AYMEN - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350025-1
Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time scales, we present a mathematical study of the order book as...