A law of large numbers for limit order books
Ulrich Horst, Michael Paulsen
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Horst, Ulrich ; Paulsen, Michael |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 42.2017, 4, p. 1280-1312
|
| Subject: | limit order book | scaling limit | averaging principle | queueing theory | Wertpapierhandel | Securities trading | Warteschlangentheorie | Queueing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0848 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011773323