A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392)
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scientific article; zbMATH DE number 7392178
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics |
scientific article; zbMATH DE number 7392178 |
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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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