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arxiv: 1210.7062 · v3 · pith:YBF7R7YRnew · submitted 2012-10-26 · 🧮 math.PR

Coupling limit order books and branching random walks

classification 🧮 math.PR
keywords couplingbookbranchinglimitorderrandomanswerartificially
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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.

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