Related papers: Queueing theoretical analysis of foreign currency …
In this paper we analyze an $M/M/1$ queueing system with an arbitrary number of customer classes, with class-dependent exponential service rates and preemptive priorities between classes. The queuing system can be described by a…
We propose a new implementation of the replica-exchange method (REM) in which replicas follow a pre-planned route in temperature space instead of a random walk. Our method satisfies the detailed balance condition in the proposed route. The…
We present a simple hybrid dynamical model as a tool to investigate behavioral strategies based on trend following. The multiplicative symbolic dynamics are generated using a lognormal diffusion model for the at-the-money implied volatility…
This paper studies the costs and trade-offs of providing transactional consistent reads in a distributed storage system. We identify the following dimensions: read consistency, read delay (latency), and data freshness. We show that there is…
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlying network structure of interrelations in foreign currency…
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of…
Peer prediction mechanisms are often adopted to elicit truthful contributions from crowd workers when no ground-truth verification is available. Recently, mechanisms of this type have been developed to incentivize effort exertion, in…
In many traditional job scheduling settings, it is assumed that one knows the time it will take for a job to complete service. In such cases, strategies such as shortest job first can be used to improve performance in terms of measures such…
A two-sided matching system is considered, where servers are assumed to arrive at a fixed rate, while the arrival rate of customers is modulated via a price-control mechanism. We analyse a loss model, wherein customers who are not served…
Motivated by interest in providing more efficient services in customer service systems, we use statistical learning methods and delay history information to predict the conditional distribution of the customers' waiting times in queueing…
Supermarket models with different servers become a key in modeling resource management of stochastic networks, such as, computer networks, manufacturing systems and transportation networks. While these different servers always make analysis…
This paper considers a population process on a dynamically evolving graph, which can be alternatively interpreted as a queueing network. The queues are of infinite-server type, entailing that at each node all customers present are served in…
The potential demand in the market and customers' perception of service value are crucial factors in pricing strategies, resource allocation, and other operational decisions. However, this information is typically private and not readily…
We study service scheduling problems in a slotted system in which agents arrive with service requests according to a Bernoulli process and have to leave within two slots after arrival, service costs are quadratic in service rates, and there…
A standard assumption in machine learning is the exchangeability of data, which is equivalent to assuming that the examples are generated from the same probability distribution independently. This paper is devoted to testing the assumption…
The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…
What determines the average length of a queue which stretches in front of a service station? The answer to this question clearly depends on the average rate at which jobs arrive at the queue and on the average rate of service. Somewhat less…
The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given…
Nonstationarity of the event rate is a persistent problem in modeling time series of events, such as neuronal spike trains. Motivated by a variety of patterns in neurophysiological spike train recordings, we define a general class of…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…