Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the modelling of limit order books, with a view to providing a na...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor & Francis
2020
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