Second order approximations for limit order books

DOI10.1007/s00780-018-0373-7zbMath1416.91350arXiv1708.07394OpenAlexW2964069847WikidataQ129216670 ScholiaQ129216670MaRDI QIDQ1788823

Dörte Kreher, Ulrich Horst

Publication date: 8 October 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07394

zbMATH Keywords

functional central limit theoremsecond order approximationlimit order bookhigh-frequency limit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

Related Items (4)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Limits of Limit-Order Books ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes

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