A stochastic partial differential equation model for limit order book dynamics
We propose an analytically tractable class of models for the dynamics of a limit order book, described as the solution of a stochastic partial differential equation (SPDE) with multiplicative noise. We provide conditions under which the model admits a finite dimensional realization driven by a (low-...
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Society for Industrial and Applied Mathematics
2021
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