"A Scaling Limit for Limit Order Books Driven by Hawkes Processes."

Ulrich Horst, Wei Xu (2019)

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DOI: 10.1137/17M1148682

access: closed

type: Journal Article

metadata version: 2019-07-24

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Ulrich Horst, Wei Xu:
A Scaling Limit for Limit Order Books Driven by Hawkes Processes. SIAM J. Financial Math. 10(2): 350-393 (2019)

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