A Limit Order Book Model for High Frequency Trading with Rough Volatility

Fuente: arXiv

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Bibliographic Details
Main Authors:	Chen-Shue, Yun, Li, Yukun, Yong, Jiongmin
Format:	Preprint
Published:	2024
Subjects:	Pricing of Securities Probability 60H15, 91G80, 60G55, 60G22
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2412.16850