{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,23]],"date-time":"2026-08-23T18:13:37Z","timestamp":1787508817191,"version":"build-2736575974"},"reference-count":10,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2018,1,30]],"date-time":"2018-01-30T00:00:00Z","timestamp":1517270400000},"content-version":"unspecified","delay-in-days":1247,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Probability"],"published-print":{"date-parts":[[2014,9]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1239\/jap\/1409932663","type":"journal-article","created":{"date-parts":[[2014,9,5]],"date-time":"2014-09-05T11:57:47Z","timestamp":1409918267000},"page":"625-639","source":"Crossref","is-referenced-by-count":7,"title":["Coupling Limit Order Books and Branching Random Walks"],"prefix":"10.1017","volume":"51","author":[{"given":"Florian","family":"Simatos","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2018,1,30]]},"reference":[{"key":"S0021900200120443_ref8","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996266"},{"key":"S0021900200120443_ref4","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1090.0780"},{"key":"S0021900200120443_ref9","unstructured":"[9] Lakner P. , Reed J. and Stoikov S. (2013). High frequency asymptotics for the limit order book. Submitted."},{"key":"S0021900200120443_ref6","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996611"},{"key":"S0021900200120443_ref7","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1111\/j.2517-6161.1951.tb00080.x","article-title":"Some problems in the theory of queues","volume":"13","author":"Kendall","year":"1951","journal-title":"J. R. Statist. Soc. B"},{"key":"S0021900200120443_ref10","unstructured":"[10] Yudovina E. (2012). A simple model of a limit order book. Preprint. Available at http:\/\/uk.arxiv.org\/abs\/1205.7017."},{"key":"S0021900200120443_ref5","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.803148"},{"key":"S0021900200120443_ref1","volume-title":"Branching Processes","author":"Athreya","year":"2004"},{"key":"S0021900200120443_ref2","doi-asserted-by":"publisher","DOI":"10.1017\/S0001867800042348"},{"key":"S0021900200120443_ref3","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005839"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900200120443","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,2]],"date-time":"2024-06-02T03:42:54Z","timestamp":1717299774000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0021900200120443\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,9]]},"references-count":10,"aliases":["10.1017\/s0021900200011566"],"journal-issue":{"issue":"3","published-print":{"date-parts":[[2014,9]]}},"alternative-id":["S0021900200120443"],"URL":"https:\/\/doi.org\/10.1239\/jap\/1409932663","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,9]]}}}