Marvin S. Mueller

Zenai

Zurich

Switzerland

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Scholarly Papers (1)

1.

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Number of pages: 41 Posted: 22 Apr 2019
Rama Cont and Marvin S. Mueller
University of Oxford and Zenai
Downloads 399 (72,259)

Abstract:

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limit order book, volatility, market microstructure, liquidity, intraday price dynamics