Limiting distribution for a simple model of order book dynamics (Q1935649)
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scientific article; zbMATH DE number 6137109
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| English | Limiting distribution for a simple model of order book dynamics |
scientific article; zbMATH DE number 6137109 |
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Limiting distribution for a simple model of order book dynamics (English)
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18 February 2013
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order book dynamics
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bid-ask spread
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utility
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waiting costs
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measure-valued process
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weak convergence
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Laplace transform
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0.8512707352638245
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0.837489664554596
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0.8361226916313171
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0.834369421005249
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