Related papers: Queueing theoretical analysis of foreign currency …
We consider a dynamic system with multiple types of customers and servers. Each type of waiting customer or server joins a separate queue, forming a bipartite graph with customer-side queues and server-side queues. The platform can match…
The complexity and ambiguity of financial and economic systems, along with frequent changes in the economic environment, have made it difficult to make precise predictions that are supported by theory-consistent explanations. Interpreting…
In Naor's model [17], customers decide whether or not to join a queue after observing its length. This work considers a variation in which customers are heterogeneous in their service value (reward) $R$ from completed service and…
We consider a one-dimensional stochastic reaction-diffusion generalizing the totally asymmetric simple exclusion process, and aiming at describing single lane roads with vehicles that can change speed. To each particle is associated a jump…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…
We consider the following distributed service model: jobs with unit mean, general distribution, and independent processing times arrive as a renewal process of rate $\lambda n$, with $0<\lambda<1$, and are immediately dispatched to one of…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we…
Reinforcement learning can interact with the environment and is suitable for applications in decision control systems. Therefore, we used the reinforcement learning method to establish a foreign exchange transaction, avoiding the…
The interest to retrial queueing systems is due to their application to telephone systems. The paper studies multiserver retrial queueing systems with $n$ servers. Arrival process is a quite general point process. An arriving customer…
To investigate the actual phenomena of transport on a complex network, we analysed empirical data for an inter-firm trading network, which consists of about one million Japanese firms and the sales of these firms (a sale corresponds to the…
In this paper we models and studies a general vacation queueing model with impatient customers. We first propose a sufficient condition for the existence of the stationary workload process. We then give an integral equation for the…
The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact of a currency transaction tax would be. These considerations…
We use multidimensional diffusion processes to approximate the dynamics of a queue served by many parallel servers. The queue is served in the first-in-first-out (FIFO) order and the customers waiting in queue may abandon the system without…
When foraging for information, users face a tradeoff between the accuracy and value of the acquired information and the time spent collecting it, a problem which also surfaces when seeking answers to a question posed to a large community.…
In a universe with a single currency, there would be no foreign exchange market, no foreign exchange rates, and no foreign exchange. Over the past twenty-five years, the way the market has performed those tasks has changed enormously. The…
The development of artificial intelligence has made significant contributions to the financial sector. One of the main interests of investors is price predictions. Technical and fundamental analyses, as well as econometric analyses, are…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
This paper studies a service system in which arriving customers are provided with information about the delay they will experience. Based on this information they decide to wait for service or to leave the system. Specifically, every…