Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees
We consider the following Markovian dynamic on point processes: at constant rate and with equal probability, either the rightmost atom of the current configuration is removed, or a new atom is added at a random distance from the rightmost atom. Interpreting atoms as limit buy orders, this process wa...
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| Veröffentlicht in: | Stochastic systems 2017-12, Vol.7 (2), p.342-373 |
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| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
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