A one-level limit order book model with memory and variable spread
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Publication:2360238
DOI10.1016/j.spa.2016.11.005zbMath1370.60129arXiv1407.5684MaRDI QIDQ2360238
Jonathan A. Chávez-Casillas, José E. Figueroa-López
Publication date: 30 June 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.5684
60J60: Diffusion processes
91G80: Financial applications of other theories
60J27: Continuous-time Markov processes on discrete state spaces
60J28: Applications of continuous-time Markov processes on discrete state spaces
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