A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (Q5219304)
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scientific article; zbMATH DE number 7179330
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies |
scientific article; zbMATH DE number 7179330 |
Statements
A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (English)
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11 March 2020
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limit order book
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queueing
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fluid limit
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high-frequency trading
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Nash equilibrium
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