Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
<p>Motivated by a zero-intelligence approach, the aim of this thesis is to unify the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks of limit order books, with a view to providing a novel yet an...
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| Format: | Thesis |
| Language: | English |
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2016
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