Second-Order Approximation of Limit Order Books in a Single-Scale Regime

MaRDI QIDQ6445951FDO

Authors Ulrich Horst, Dörte Kreher, Konstantins Starovoitovs

Publication date 1 August 2023

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Financial applications of other theories (91G80)

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