Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (Q5886357)
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scientific article; zbMATH DE number 7671147
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model |
scientific article; zbMATH DE number 7671147 |
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Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (English)
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31 March 2023
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limit order book
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market microstructure
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high-frequency limit
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semimartingale convergence
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jump diffusion
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