Michael Bleher

Heidelberg University - Mathematisches Institut

Mathematikon

Im Neuenheimer Feld 205

Heidelberg, 69120

Germany

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The What, When and Where of Limit Order Books

Number of pages: 83 Posted: 28 May 2020 Last Revised: 05 Jun 2020
Johannes Bleher, Michael Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics, Heidelberg University - Mathematisches Institut and University of Tuebingen - Department of Statistics and Econometrics
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Abstract:

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Limit Order Book, Master Equation, Continuous Markov Process, High Frequency, Market Microstructure