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"A Weak Law of Large Numbers for a Limit Order Book Model with Fully State ..."

Ulrich Horst, Dörte Kreher (2017)

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DOI: 10.1137/15M1024226

access: closed

type: Journal Article

metadata version: 2018-03-13

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Ulrich Horst, Dörte Kreher:
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. SIAM J. Financial Math. 8(1): 314-343 (2017)

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