Coupling limit order books and branching random walks
Probability
2013-10-02 v3
Abstract
We consider a model for a one-sided limit order book proposed by Lakner et al. 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.
Keywords
Cite
@article{arxiv.1210.7062,
title = {Coupling limit order books and branching random walks},
author = {Florian Simatos},
journal= {arXiv preprint arXiv:1210.7062},
year = {2013}
}
Comments
Minor error in the proof of Theorem 1 corrected. Final version accepted for publication to Journal of Applied Probability