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"Long-Time Behavior of a Hawkes Process-Based Limit Order Book."

Frédéric Abergel, Aymen Jedidi (2015)

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DOI: 10.1137/15M1011469

access: closed

type: Journal Article

metadata version: 2017-05-17

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Frédéric Abergel, Aymen Jedidi:
Long-Time Behavior of a Hawkes Process-Based Limit Order Book. SIAM J. Financial Math. 6(1): 1026-1043 (2015)

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