Second order approximations for limit order books
Abstract
We derive a second order approximation for an infinite dimensional Markovian limit order book model under two different scaling regimes. In the first case we suppose that price changes are really rare, yielding a constant... [ view full abstract ]
Authors
- Dörte Kreher (Humboldt-Universität zu Berlin)
- Ulrich Horst (Humboldt-Universität zu Berlin)
Topic Areas
High-Frequency Trading , Limit-Order Books
Session
WE-P-SW » Limit-order Book (14:30 - Wednesday, 18th July, Swift)
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