Brownian trading excursions


We study a parsimonious model of the latent limit order book where orders get placed according to some volume density function relative to a center price process, and get executed whenever this center price reaches their... [ view full abstract ]


  1. Thorsten Rheinlander (Vienna University of Technology)
  2. Friedrich Hubalek (Vienna University of Technology)
  3. Paul Eisenberg (University of Liverpool)

Topic Areas

Limit-Order Books , Partial Differential Equations


WE-P-SW » Limit-order Book (14:30 - Wednesday, 18th July, Swift)

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