Abstract
Finite-memory effects on the dynamics of the latent order book can be accounted for by allowing finite cancellation and deposition rates within a continuous reaction-diffusion set-up.
| Original language | English |
|---|---|
| Pages (from-to) | 1781-1790 |
| Number of pages | 10 |
| Journal | Quantitative Finance |
| Volume | 18 |
| Issue number | 11 |
| DOIs | |
| Publication status | Published - 2 Nov 2018 |