Coupling Limit Order Books and Branching Random Walks
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Publication:2923425
DOI10.1239/jap/1409932663zbMath1305.60086arXiv1210.7062OpenAlexW2152814170MaRDI QIDQ2923425
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
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
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
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