A diffusion approximation for limit order book models
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DOI: 10.1016/j.spa.2018.11.023
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References listed on IDEAS
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Cited by:
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- Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
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Keywords
Functional limit theorem; Diffusion limit; Scaling limit; Convergence of stochastic differential equations; Limit order book;All these keywords.
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