on the details of the market design. We determine equilibrium transaction costs in continuous limit order book (CLOB …

on the details of the market design. We determine equilibrium transaction costs in continuous limit order book (CLOB …

this continuous limit, arguing that because the strong GARCH model is not aggregating in time it is incorrect to examine … continuous limit is a stochastic volatility model that reduces to Nelson’s GARCH diffusion only under certain assumptions. In …