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• W2952207958 abstract "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." @default.
• W2952207958 created "2019-06-27" @default.
• W2952207958 creator A5032948315 @default.
• W2952207958 date "2014-09-01" @default.
• W2952207958 modified "2023-10-18" @default.
• W2952207958 title "Coupling Limit Order Books and Branching Random Walks" @default.
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• W2952207958 doi "https://doi.org/10.1017/s0021900200011566" @default.
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