Simatos, Florian
Coupling limit order books and branching random walks.
(2014)
Journal of Applied Probability, 51 (3). 625-639. ISSN 0021-9002
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(Document in English)
PDF (Author's version) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader 283kB |
Official URL: https://doi.org/10.1239/jap/1409932663
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.
Item Type: | Article |
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HAL Id: | hal-01888123 |
Audience (journal): | International peer-reviewed journal |
Uncontrolled Keywords: | |
Institution: | Other partners > Eindhoven University of Technology - TU/e (NETHERLANDS) |
Statistics: | download |
Deposited On: | 04 Oct 2018 15:16 |
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