Coupling limit order books and branching random walks - Archive ouverte HAL Access content directly
Journal Articles Journal of Applied Probability Year : 2014

Coupling limit order books and branching random walks

Abstract

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.
Fichier principal
Vignette du fichier
Simatos_20906..pdf (276.76 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

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

Identifiers

Cite

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⟩
16 View
38 Download

Altmetric

Share

Gmail Facebook X LinkedIn More