Coupling Limit Order Books and Branching Random Walks

DOI10.1239/JAP/1409932663zbMath1305.60086arXiv1210.7062OpenAlexW2152814170MaRDI QIDQ2923425

Florian Simatos

Publication date: 15 October 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7062

zbMATH Keywords

branching random walklimit order book

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of branching processes (60J85) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Scaling limit of a limit order book model via the regenerative characterization of Lévy trees ⋮ A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• A branching random walk with a barrier
• Postulates for subadditive processes
• The first birth problem for an age-dependent branching process
• Limit order books
• A Stochastic Model for Order Book Dynamics
• The first- and last-birth problems for a multitype age-dependent branching process

This page was built for publication: Coupling Limit Order Books and Branching Random Walks