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Coupling Limit Order Books and Branching Random Walks
Published online by Cambridge University Press: 30 January 2018
Abstract
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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.
MSC classification
Secondary:
60G55: Point processes
- Type
- Research Article
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- Copyright
- © Applied Probability Trust
References
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