I am reading the paper: https://sci-hub.do/10.1080/14697688.2016.1190030 because I want to split the target shares in market order book and limit order book.
I have a question when it comes to page 10 in section: Numerical convergence.
The author used pmf of Poisson distribution and chose $\lambda$ = 2200. But, I think it is so large to calculate. I don't know that I misinterpreted the author's meaning or if there's some confusion.
Please help me!!! Thank you so much!