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A Law of Large Numbers for Limit Order Books - MaRDI portal

A Law of Large Numbers for Limit Order Books (Q4595967)

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scientific article; zbMATH DE number 6816366
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English
A Law of Large Numbers for Limit Order Books
scientific article; zbMATH DE number 6816366

    Statements

    title
    A Law of Large Numbers for Limit Order Books (English)
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    author
    Ulrich Horst
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    Michael Paulsen
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    publication date
    7 December 2017
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    zbMATH Keywords
    limit order book
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    scaling limit
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    averaging principle
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    queueing theory
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    Identifiers

    Mathematics Subject Classification ID
    60F05
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    90B22
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    91B70
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    91G80
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    zbMATH DE Number
    6816366
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    OpenAlex ID
    W2112415720
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    arXiv ID
    1501.00843
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