Related papers: Queueing theoretical analysis of foreign currency …
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
We study a double-ended queue which consists of two classes of customers. Whenever there is a pair of customers from both classes, they are matched and leave the system immediately. The matching follows first-come-first-serve principle. If…
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In…
In this paper we consider a single-server, cyclic polling system with switch-over times. A distinguishing feature of the model is that the rates of the Poisson arrival processes at the various queues depend on the server location. For this…
The standard approach to realize a quantum repeater relies upon probabilistic but heralded entangled state manipulations and the storage of quantum states while waiting for successful events. In the literature on this class of repeaters,…
Flight delays are a significant challenge in the aviation industry, causing major financial and operational disruptions. To improve passenger experience and reduce revenue loss, flight delay prediction models must be both precise and…
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are…
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia.…
We analyze the latency or sojourn time L(m,n) for the last customer in a batch of n customers to exit from the m-th queue in a tandem of m queues in the setting where the queues are in equilibrium before the batch of customers arrives at…
Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading…
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
Accurate prediction of price behavior in the foreign exchange market is crucial. This paper proposes a novel approach that leverages technical indicators and deep neural networks. The proposed architecture consists of a Long Short-Term…
A FORTRAN program to simulate the operation of infinite servers queues is presented in this work. Poisson arrivals processes are considered but not only. For many parameters of interest in queuing systems study or application, either there…
In this thesis, we study the optimal tradeoff of average delay, average service cost, and average utility for single server queueing models, with and without admission control. The continuous time and discrete time queueing models that we…
The paper studies a multiserver retrial queueing system with $m$ servers. Arrival process is a point process with strictly stationary and ergodic increments. A customer arriving to the system occupies one of the free servers. If upon…
We study the impact of exchange rate volatility on cost efficiency and market structure in a cross-section of banks that have non-trivial exposures to foreign currency (FX) operations. We use unique data on quarterly revaluations of FX…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
We introduce a rate balance principle for general (not necessarily Markovian) stochastic processes. Special attention is given to processes with birth and death like transitions, for which it is shown that for any state $i$, the rate of two…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…