Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models
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Publication:5126683
DOI10.1080/1350486X.2020.1758176zbMath1451.91186arXiv1808.07107OpenAlexW3025214546MaRDI QIDQ5126683
Jasdeep Kalsi, James Newbury, Benjamin M. Hambly
Publication date: 20 October 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.07107
stochastic partial differential equationslimit order bookshigh- to ultra high-frequency settingmicroscopic, mesoscopic and macroscopic frameworks
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial markets (91G15)
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