Related papers: Limiting search cost distribution for the move-to-…
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the…
We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and…
We provide a many-to-few formula in the general setting of non-local branching Markov processes. This formula allows one to compute expectations of k-fold sums over functions of the population at k different times. The result generalises…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…
We consider a Markov chain that iteratively generates a sequence of random finite words in such a way that the $n^{\mathrm{th}}$ word is uniformly distributed over the set of words of length $2n$ in which $n$ letters are $a$ and $n$ letters…
We introduce a natural online allocation problem that connects several of the most fundamental problems in online optimization. Let $M$ be an $n$-point metric space. Consider a resource that can be allocated in arbitrary fractions to the…
We consider the problem of a decision-maker searching for information on multiple alternatives when information is learned on all alternatives simultaneously. The decision-maker has a running cost of searching for information, and has to…
A variety of systems in physics, chemistry, biology, and psychology are modeled in terms of diffusing "searchers" looking for "targets." Examples range from gene regulation, to cell sensing, to human decision-making. A commonly studied…
We show that for every $k$, the probability that a randomly selected vertex of a random binary search tree on $n$ nodes is at distance $k-1$ from the closest leaf converges to a rational constant $c_k$ as $n$ goes to infinity.
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are known to exhibit under general conditions a multiplicative random walk structure called the tail chain. More generally, if the Markov chain is…
We consider an agent seeking to obtain an item, potentially available at different locations in a physical environment. The traveling costs between locations are known in advance, but there is only probabilistic knowledge regarding the…
We study the problem of fairly allocating indivisible goods to agents in an online setting, where goods arrive sequentially and must be allocated irrevocably. Focusing on the popular fairness notions of envy-freeness, proportionality, and…
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov evolution…
The importance of a node in a directed graph can be measured by its PageRank. The PageRank of a node is used in a number of application contexts - including ranking websites - and can be interpreted as the average portion of time spent at…
Resource allocation problems are a fundamental domain in which to evaluate the fairness properties of algorithms. The trade-offs between fairness and utilization have a long history in this domain. A recent line of work has considered…
In its most basic form, decision-making can be viewed as a computational process that progressively eliminates alternatives, thereby reducing uncertainty. Such processes are generally costly, meaning that the amount of uncertainty that can…
We consider the canonical {\em shared link network} formed by a source node, hosting a library of $m$ information messages (files), connected via a noiseless common link to $n$ destination nodes (users), each with a cache of size M files.…
Consider a finite number of balls initially placed in $L$ bins. At each time step a ball is taken from each non-empty bin. Then all the balls are uniformly reassigned into bins. This finite Markov chain is called Repeated Balls-into-Bins…