Related papers: Queueing theoretical analysis of foreign currency …
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We consider a single server queueing system with admission control and the possibility to switch dynamically between a low and a high service rate, and examine the benefit of this service rate flexibility. We formulate a discounted Markov…
Consider an M/M/$s$ queue with the additional feature that the arrival rate is a random variable of which only the mean, variance, and range are known. Using semi-infinite linear programming and duality theory for moment problems, we…
The vast literature on exchange rate fluctuations estimates the exchange rate pass-through (ERPT). Most ERPT studies consider annually aggregated data for developed or large developing countries for estimating ERPT. These estimates vary…
In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
We propose a two-step graph learning approach for foreign exchange statistical arbitrages (FXSAs), addressing two key gaps in prior studies: the absence of graph-learning methods for foreign exchange rate prediction (FXRP) that leverage…
Throughout the past year, Turkey's central bank policy to decrease the nominal interest rate has caused episodes of severe fluctuations in Turkish lira exchange rates. According to these conditions, the daily return of the USD/TRY have…
The Foreign Exchange market is a significant market for speculators, characterized by substantial transaction volumes and high volatility. Accurately predicting the directional movement of currency pairs is essential for formulating a sound…
A single server retrial queueing system with two-classes of orbiting customers, and general class dependent service times is considered. If an arriving customer finds the server unavailable, it enters a virtual queue, called the orbit,…
Resetting is a strategy for boosting the speed of a target-searching process. Since its introduction over a decade ago, most studies have been carried out under the assumption that resetting takes place instantaneously. However, due to its…
To perform a queuing analysis or design in a communications context, we need to estimate the values of the input parameters, specifically the mean of the arrival rate and service time. In this paper, we propose an approach for estimating…
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor. A CUSUM type estimator is proposed, and we establish first…
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of…
Recent studies indicate that in many situations service times are affected by the experienced queueing delay of the particular customer. This effect has been detected in different areas, such as health care, call centers and…
We present a heavy traffic analysis for a single server queue with renewal arrivals and generally distributed i.i.d. service times, in which the server employs the Shortest Remaining Processing Time (SRPT) policy. Under typical heavy…
We propose an approach to explain fluctuations in time intervals of financial markets data from the view point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution which is a good candidate to describe…
We consider polling models in the sense of Takagi (MIT Press, 1986). In our case, the feature of the server is that it may be forced to wait idly for new messages at an empty queue instead of switching to the next station. We propose four…
Tandem queueing networks are widely used to model systems where services are provided in sequential stages. In this study, we assume that each station in the tandem system operates under a general renewal process. Additionally, we assume…