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"A Stochastic Partial Differential Equation Model for Limit Order Book ..."

Rama Cont, Marvin S. Müller (2021)

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DOI: 10.1137/19M1254489

access: closed

type: Journal Article

metadata version: 2023-08-28

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Rama Cont, Marvin S. Müller:
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics. SIAM J. Financial Math. 12(2): 744-787 (2021)

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