Coupling limit order books and branching random walks

F. Simatos

Onderzoeksoutput: Bijdrage aan tijdschriftTijdschriftartikelAcademicpeer review

3 Citaten (Scopus)
1 Downloads (Pure)

Samenvatting

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
Originele taal-2Engels
Pagina's (van-tot)625-639
TijdschriftJournal of Applied Probability
Volume51
Nummer van het tijdschrift3
DOI's
StatusGepubliceerd - 2014

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