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20192024
most citedSome algorithms for the mean curvature flow under topological changes

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q-fin.PR2024

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

Yun Chen-Shue, Yukun Li, Jiongmin Yong

We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and…