Modelling the shape of the limit order book

DOI10.1080/14697688.2018.1433312zbMath1480.91281OpenAlexW2790532922MaRDI QIDQ5026540

Federico Platania, Mikel Tapia, Pedro Serrano

Publication date: 8 February 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1433312

zbMATH Keywords

partial differential equationlimit order booknoise traderhigh-frequency asset pricing model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

Related Items

Trading strategy with stochastic volatility in a limit order book market

Cites Work

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