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A Scaling Limit for Limit Order Books Driven by Hawkes Processes - MaRDI portal

A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409)

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scientific article; zbMATH DE number 7086438
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English
A Scaling Limit for Limit Order Books Driven by Hawkes Processes
scientific article; zbMATH DE number 7086438

    Statements

    title
    A Scaling Limit for Limit Order Books Driven by Hawkes Processes (English)
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    author
    Ulrich Horst
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    Wei Xu
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    publication date
    26 July 2019
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    zbMATH Keywords
    limit order books
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    Hawkes processes
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    scaling limit
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    cites work
    Q4269108
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    Q3997912
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    Q3957683
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    Q5649230
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    Q3992729
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    Q4002114
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    Q4226355
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    Identifiers

    DOI
    10.1137/17M1148682
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    Mathematics Subject Classification ID
    91G99
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    60G55
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    60F17
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    zbMATH DE Number
    7086438
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    arXiv ID
    1709.01292
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    OpenAlex ID
    W2963919247
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