September 2014 Coupling limit order books and branching random walks
Florian Simatos
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J. Appl. Probab. 51(3): 625-639 (September 2014). DOI: 10.1239/jap/1409932663

Abstract

We consider a model for a one-sided limit order book proposed by Lakner, Reed and Stoikov (2013). We show that it can be coupled with a branching random walk and use this coupling to answer a nontrivial question about the long-term behavior of the price. The coupling relies on a classical idea of enriching the state space by artificially creating a filiation, in this context between orders of the book, which we believe has the potential of being useful for a broader class of models.

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Florian Simatos. "Coupling limit order books and branching random walks." J. Appl. Probab. 51 (3) 625 - 639, September 2014. https://doi.org/10.1239/jap/1409932663

Information

Published: September 2014
First available in Project Euclid: 5 September 2014

zbMATH: 1305.60086
MathSciNet: MR3256216
Digital Object Identifier: 10.1239/jap/1409932663

Subjects:
Primary: 60J85
Secondary: 60G55

Keywords: Branching random walk , branching random walk with a barrier , limit order book

Rights: Copyright © 2014 Applied Probability Trust

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Vol.51 • No. 3 • September 2014
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