Rama Cont, Adrien de Larrard. Price Dynamics in a Markovian Limit Order Market. SIAM J. Financial Math., 4(1):1-25, 2013. [doi]
@article{ContL13,
title = {Price Dynamics in a Markovian Limit Order Market},
author = {Rama Cont and Adrien de Larrard},
year = {2013},
doi = {10.1137/110856605},
url = {http://dx.doi.org/10.1137/110856605},
researchr = {https://researchr.org/publication/ContL13},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {4},
number = {1},
pages = {1-25},
}