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Article Dans Une Revue Journal of Applied Probability Année : 2014

Coupling limit order books and branching random walks

Résumé

We consider a model for a one-sided limit order book proposed by Lakner et al.~\cite{Lakner:0}. We show that it can be coupled with a branching random walk and use this coupling to answer a non-trivial 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, that we believe has the potential of being useful for a broader class of models.
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Dates et versions

hal-01888123 , version 1 (04-10-2018)

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Florian Simatos. Coupling limit order books and branching random walks. Journal of Applied Probability, 2014, 51 (3), pp.625-639. ⟨10.1239/jap/1409932663⟩. ⟨hal-01888123⟩
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