Non-constant rates and over-diffusive prices in a simple model of limit order markets
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Publication:4647254
DOI10.1088/1469-7688/3/3/301zbMath1405.91542OpenAlexW1968457843MaRDI QIDQ4647254
Robin B. Stinchcombe, Damien Challet
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/301
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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