Related papers: A Novel Approach to Queue-Reactive Models: The Imp…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of…
We establish a diffusion approximation for a class of multi-agent controlled queueing systems, demonstrating their convergence to a system of interacting reflected Ornstein--Uhlenbeck (OU) processes. The limiting process captures essential…
While queueing network models are powerful tools for analyzing service systems, they traditionally require substantial human effort and domain expertise to construct. To make this modeling approach more scalable and accessible, we propose a…
We study the impact of finite-size effect on continuous variable source-independent quantum random number generation. The central-limit theorem and maximum likelihood estimation theorem are used to derive the formula which could output the…
This paper studies the effect of an overdispersed arrival process on the performance of an infinite-server system. In our setup, a random environment is modeled by drawing an arrival rate $\Lambda$ from a given distribution every $\Delta$…
Recent work in decentralized, schedule-driven traffic control has demonstrated the ability to significantly improve traffic flow efficiency in complex urban road networks. However, in situations where vehicle volumes increase to the point…
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…
Procurement in maritime logistics faces challenges due to uncertainties in demand and fluctuating market conditions. To address these complexities, we introduce a flexible discrete-event simulation framework that models the request-to-order…
We explore the possibility of putting constraints on quintessence models with large-scale structure observations. In particular we compute the linear and second order growth rate of the fluctuations in different flavors of quintessence…
We compare different approximations for the wait time in distribution networks, in which all warehouses use an (R,Q)-order policy. Reporting on the results of extensive computational experiments, we evaluate the quality of several…
This paper presents a probabilistic approach to represent and quantify model-form uncertainties in the reduced-order modeling of complex systems using operator inference techniques. Such uncertainties can arise in the selection of an…
This working paper presents a comprehensive study on the development and analysis of various electricity market models, focusing on continuous, discrete, and fractional-order approaches. The continuous model captures the ongoing…
The scaling of correlations as a function of system size provides important hints to understand critical phenomena on a variety of systems. Its study in biological systems offers two challenges: usually they are not of infinite size, and in…
Fashion discounters face the problem of ordering the right amount of pieces in each size of a product. The product is ordered in pre-packs containing a certain size-mix of a product. For this so-called lot-type design problem, a stochastic…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…