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Paper detail

Diffusion Limit of Poisson Limit-Order Book Models

This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the results of a particular "representative" model are detailed. This paper contains the proofs and technical details cited in that work.

preprint2022arXivOpen access
Christopher AlmostJohn LehoczkySteven ShreveXiaofeng Yu
math.PR
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Open access4 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Christopher AlmostJohn LehoczkySteven ShreveXiaofeng Yu

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