Second-Order Approximation of Limit Order Books in a Single-Scale Regime
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Publication:6445951
arXiv2308.00805MaRDI QIDQ6445951FDOQ6445951
Authors: Ulrich Horst, Dörte Kreher, Konstantins Starovoitovs 
Publication date: 1 August 2023
Functional limit theorems; invariance principles (60F17) Financial applications of other theories (91G80)
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