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"Ergodicity and Diffusivity of Markovian Order Book Models: A General ..."

Weibing Huang, Mathieu Rosenbaum (2017)

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DOI: 10.1137/16M1064337

access: closed

type: Journal Article

metadata version: 2018-03-13

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Weibing Huang, Mathieu Rosenbaum:
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework. SIAM J. Financial Math. 8(1): 874-900 (2017)

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