A diffusion approximation for limit order book models
نویسندگان
چکیده
منابع مشابه
A Second Order Approximation for Quasilinear Non-Fickian Diffusion Models
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We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders di®er by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained the pattern is determined by three parameters: th...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2019
ISSN: 0304-4149
DOI: 10.1016/j.spa.2018.11.023