Non-constant rates and over-diffusive prices in a simple model of limit order markets

DOI10.1088/1469-7688/3/3/301zbMath1405.91542OpenAlexW1968457843MaRDI QIDQ4647254

Robin B. Stinchcombe, Damien Challet

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/301

zbMATH Keywords

limit order marketsover-diffusive prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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