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arXiv · 2008.01155

Diffusion Limit of Poisson Limit-Order Book Models

Christopher Almost·John Lehoczky·Steven Shreve·Xiaofeng Yu
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Abstract

This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the results of a particular "representative" model are detailed. This paper contains the proofs and technical details cited in that work.

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Christopher Almost, John Lehoczky, Steven Shreve, Xiaofeng Yu. 2020-08-03. Diffusion Limit of Poisson Limit-Order Book Models. https://arxiv.org/abs/2008.01155

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