Diffusion Limit of Poisson Limit-Order Book Models

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Diffusion Limit of Poisson Limit-Order Book Models (scientific article from arXiv)

MaRDI QIDQ7137437arXivFDO

Authors John P. Lehoczky, Steven Shreve, Xiaofeng Yu

Publication date 2020

Published in arXiv


arXiv classification

math.PR















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