Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
Author:
Affiliation:
1. Humboldt-Universität zu Berlin, Berlin, Germany.
Funder
Deutsche Forschungsgemeinschaft
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference35 articles.
1. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
2. A functional limit theorem for limit order books with state dependent price dynamics
3. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
4. Convergence of Probability Measures
5. Why Have Asset Price Properties Changed so Little in 200 Years
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