Coupling limit order books and branching random walks

F. Simatos

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)
1 Downloads (Pure)


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. Keywords: Limit order book branching random walk branching random walk with a barrier
Original languageEnglish
Pages (from-to)625-639
JournalJournal of Applied Probability
Issue number3
Publication statusPublished - 2014


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