Open AccessScaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees
Author(s) -
Peter Lakner,
Josh Reed,
Florian Simatos
Publication year - 2018
Publication title -
stochastic systems
Language(s) - English
Resource type - Journals
ISSN - 1946-5238
DOI - 10.1287/stsy.2017.0005.2018.1.test
Subject(s) - limit (mathematics) , scaling limit , brownian motion , mathematics , statistical physics , measure (data warehouse) , scaling , order (exchange) , stochastic process , complement (music) , simple (philosophy) , mathematical analysis , physics , computer science , geometry , statistics , finance , economics , biochemistry , chemistry , philosophy , epistemology , database , complementation , gene , phenotype