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Séminaire informel de Probabilités et Statistiques

Horaires : Le lundi 31 mars 2014, 11h - 12h

Lieu : Salle U/V

Analysis of a one-sided limit order book model

Florian Simatos (DI & INRIA - page personnelle)

A limit order book is a financial trading mechanism that keeps track of orders made by traders, and allows to execute them in the future. In this talk I will present a simple model of a one-sided limit order book, which is modeled as a point process evolving over time. I will discuss two aspects of this model: the asymptotic behavior of the so-called price process (the extremal point) and the scaling limit of the entire measure-valued process. The proofs rely on a coupling with a branching random walk with a barrier, and on a characterization of regenerative real trees due to Weill [Ann. Probab. 2007].

 

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