Diffusion Limit of Poisson Limit-Order Book Models
Probability
2022-03-30 v2
Abstract
This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the results of a particular "representative" model are detailed. This paper contains the proofs and technical details cited in that work.
Keywords
Cite
@article{arxiv.2008.01155,
title = {Diffusion Limit of Poisson Limit-Order Book Models},
author = {Christopher Almost and John Lehoczky and Steven Shreve and Xiaofeng Yu},
journal= {arXiv preprint arXiv:2008.01155},
year = {2022}
}
Comments
89 pages