Hydrodynamic limit of order book dynamics
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- Frank Kelly & Elena Yudovina, 2015. "A Markov model of a limit order book: thresholds, recurrence, and trading strategies," Papers 1504.00579, arXiv.org, revised Mar 2017.
- Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
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- Ulrich Horst & Dorte Kreher, 2015. "A weak law of large numbers for a limit order book model with fully state dependent order dynamics," Papers 1502.04359, arXiv.org, revised May 2016.
- Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MST-2015-01-09 (Market Microstructure)
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