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Limits of Limit-Order Books

Published:2022-08-03 Issue: Volume: Page:141-155
ISSN:0075-8434
Container-title:Lecture Notes in Mathematics
language:
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Author:

Almost Christopher,Lehoczky John,Shreve Steven,Yu Xiaofeng

Publisher

Springer International Publishing

Link

https://link.springer.com/content/pdf/10.1007/978-3-031-12244-6_11

Reference47 articles.

1. F. Abergel and A. Jedidi. A mathematical approach to order book modeling. International J. Theoretical Applied Finance16(5), 1350025 (2013).

2. C. Almost. Diffusion scaling of a limit-order book model: The symmetric case. Ph.D. dissertation, Department of Mathematical Sciences, Carnegie Mellon University, https://kilthub.cmu.edu/articles/thesis/Diffusion_Scaling_of_a_Limit-Order_Book_Model_ The_Symmetric_Case/8160173 (2018).

3. C. Almost, J. Lehoczky, S. Shreve and X. Yu. Diffusion Limit of Poisson Limit-Order Book Models. https://arxiv.org/abs/2008.01155 (2022).

4. Y. Amihud and H. Mendelson. Dealership market. J. Financial Economics8, 31–53 (1980).

5. M. Avellaneda, J. Reed and S. Stoikov. Forecasting prices in the presence of hidden liquidity. Algorithmic Finance1, 35–43 (2011).

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