High frequency asymptotics for the limit order book

Peter Lakner, Josh Reed, Sasha Stoikov

Year of publication:	June 2016
Authors:	Lakner, Peter ; Reed, Josh ; Stoikov, Sasha
Published in:	Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 1, p. 1-83
Subject:	Limit order book \| high frequency asymptotics \| measure valued process \| weak convergence \| reflected Brownian motion \| local time \| transient and long term behavior \| Theorie \| Theory \| Wertpapierhandel \| Securities trading \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price

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