Second order approximations for limit order books (Q1788823)

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Second order approximations for limit order books
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    title
    Second order approximations for limit order books (English)
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    author
    Ulrich Horst
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    Dörte Kreher
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    publication date
    8 October 2018
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    Mathematics Subject Classification ID
    91G10
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    60F17
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    60F05
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    60H10
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    60H15
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    zbMATH DE Number
    6948967
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    zbMATH Keywords
    functional central limit theorem
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    second order approximation
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    high-frequency limit
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    limit order book
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    OpenAlex ID
    W2964069847
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    arXiv ID
    1708.07394
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