Related papers: A Novel Approach to Queue-Reactive Models: The Imp…
Training large language models (LLMs) from scratch is an expensive endeavor, particularly as world knowledge continually evolves. To maintain relevance and accuracy of LLMs, model editing has emerged as a pivotal research area. While these…
The Barab\'asi's priority queuing model [A.-L. Barab\'asi, Nature \textbf{435}, 207 (2005)] and its variants have been extensively studied to understand heavy-tailed distributions of the inter-event times and the response times observed in…
Motivated by growing applications in two-sided markets, we study a parallel matching queue with reneging. Demand and supply units arrive to the system and are matched in an FCFS manner according to a compatibility graph specified by an…
Power law distributions have been repeatedly observed in a wide variety of socioeconomic, biological and technological areas. In many of the observations, e.g., city populations and sizes of living organisms, the objects of interest evolve…
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density…
A finite size scaling theory, originally developed only for transitions to absorbing states [Phys. Rev. E {\bf 92}, 062126 (2015)], is extended to distinct sorts of discontinuous nonequilibrium phase transitions. Expressions for quantities…
Modern information retrieval must reconcile short, ambiguous queries with increasingly diverse and dynamic corpora. Query expansion (QE) remains a core technique for mitigating vocabulary mismatch, but its design space has been reshaped by…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from physics and stochastic processes, our proposed framework captures the creation and annihilation of orders, order matching, and the time evolution of…
Motivated by queueing systems with heterogeneous parallel servers, we consider a class of structured multi-dimensional Markov processes whose state space can be partitioned into two parts: a finite set of boundary states and a structured…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the…
This paper is about optimally controlling skill-based queueing systems such as data centers, cloud computing networks, and service systems. By means of a case study using a real-world data set, we investigate the practical implementation of…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Macroscopic link-based flow models are efficient for simulating flow propagation in urban road networks. Existing link-based flow models described traffic states of a link with two state variables of link inflow and outflow and assumed…
Market making refers to a form of trading in financial markets characterized by passive orders which add liquidity to limit order books. Market makers are important for the proper functioning of financial markets worldwide. Given the…
Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this work, we develop an agent-based model for trading in a…
The article describes the diffusion approximation and the method of its use for evaluation of the effectiveness of active queue management (AQM) mechanisms. The presented model combines the approximation and simulation approaches. The…