A stochastic partial differential equation model for limit order book dynamics (Q4958392)
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scientific article; zbMATH DE number 7392178
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| English | A stochastic partial differential equation model for limit order book dynamics |
scientific article; zbMATH DE number 7392178 |
Statements
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (English)
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8 September 2021
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limit order book
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market microstructure
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stochastic PDE
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moving boundary problem
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volatility
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liquidity
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0.8618989586830139
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0.8397303223609924
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0.8330650925636292
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0.8196011781692505
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0.8166679739952087
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