Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees
Author:
Affiliation:
1. Leonard N. Stern School of Business, New York University, New York, New York, 10012, USA
2. ISAE-SUPAERO, 31055 Toulouse, France
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
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1. A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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