Related papers: Queueing theoretical analysis of foreign currency …
We consider the problem of customer equilibrium behavior of a single server Markovian queue with dynamic control of the service rate. Customers arrive according a Poisson procedure and the system administrator makes a service rate choice…
This paper introduces a novel approach employing extreme value theory to analyze queue lengths within a corridor controlled by adaptive controllers. We consider the maximum queue lengths of a signalized corridor consisting of nine…
This research employs quantitative techniques interpreted through relevant economic theories to analyze a proposed U.S. "Discounted Reciprocal Tariff" structure. Statistical modeling (linear regression) quantifies the policy's consistent…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in…
We consider the problem of scheduling a queueing system in which many statistically identical servers cater to several classes of impatient customers. Service times and impatience clocks are exponential while arrival processes are renewal.…
We consider a Markovian single server queue with impatient customers. There is a customer abandonment cost and a holding cost for customers in the system. We consider two versions of the problem. In the first version, customers pay a reward…
We present statistical tests for the continuous martingale hypothesis. That is, whether an observed process is a continuous local martingale, or equivalently a continuous time-changed Brownian motion. Our technique is based on the concept…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
This paper attempts to find out numerically the distribution of the queue-length ratio in the context of a model of preferential attachment. Here we consider two restaurants only and a large number of customers (agents) who come to these…
Performance modeling is a key issue in queuing theory and operation research. It is well-known that the length of a queue that awaits service or the time spent by a job in a queue depends not only on the service rate, but also crucially on…
This paper presents the way in which can be determined the exchange rates that simultaneously balance the trade balances of all countries that trade with each other within a common market. A mathematical synthesis between the theory of…
We study a vacation-type queueing model, and a single-server multi-queue polling model, with the special feature of retrials. Just before the server arrives at a station there is some deterministic glue period. Customers (both new arrivals…
A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange…
A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…
Vacation queueing systems are widely used as an extension of the classical queueing theory. We consider both working vacations and regular vacations in this paper, and compare systems with vacations to the regular $M/M/1$ system via mean…
Many scientific questions can be framed as asking for a first passage time (FPT), which generically describes the time it takes a random "searcher" to find a "target." The important timescale in a variety of biophysical systems is the time…