48 citations · 195 across the 26 of their papers we have counts for
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q-fin.MF2017★ 4 cited
A Scaling Limit for Limit Order Books Driven by Hawkes Processes
Ulrich Horst, Wei Xu
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to d…
q-fin.MF2017
Second order approximations for limit order books
Ulrich Horst, Dörte Kreher
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on th…