Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models

DOI10.1080/1350486X.2020.1758176zbMath1451.91186arXiv1808.07107OpenAlexW3025214546MaRDI QIDQ5126683

Jasdeep Kalsi, James Newbury, Benjamin M. Hambly

Publication date: 20 October 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07107

zbMATH Keywords

stochastic partial differential equationslimit order bookshigh- to ultra high-frequency settingmicroscopic, mesoscopic and macroscopic frameworks

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial markets (91G15)

Related Items (2)

Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

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