相关论文: Transmission of market orders through communicatio…

The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely many assets and incorporate a restricted information…

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…

Information-theoretic arguments focus on modeling the reliability of information transmission, assuming availability of infinite data at sources, thus ignoring randomness in message generation times at the respective sources. However, in…

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…

In this work, we consider the case where a source with bursty traffic can adjust the transmission duration in order to increase the reliability. The source is equipped with a queue in order to store the arriving packets. We model the system…

In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…

Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…

We consider an $M/G/\infty$ queue with infinite expected service time. We then provide the transience/recurrence classification of the states (the system is said to be at state $n$ if there are $n$ customers being served), observing also…

The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…

The transmission of electric signals on a coupled line with distributed RLC-parameters is considered as a propagation of a dissipative quasi particle. A calculation technique is developed, alternative to the one, accepted for lumped lines.…

A key functionality of emerging connected autonomous systems such as smart cities, smart transportation systems, and the industrial Internet-of-Things, is the ability to process and learn from data collected at different physical locations.…

Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…

Financial time-series forecasting in real-world high-frequency markets is often hindered by delayed or partially stale observations caused by asynchronous data acquisition and transmission latency. To better reflect such practical…

Trend change prediction in complex systems with a large number of noisy time series is a problem with many applications for real-world phenomena, with stock markets as a notoriously difficult to predict example of such systems. We approach…

Accurate estimation of queuing delays is crucial for designing and optimizing communication networks, particularly in the context of Deterministic Networking (DetNet) scenarios. This study investigates the approximation of Internet queuing…

Market making refers to a form of trading in financial markets characterized by passive orders which add liquidity to limit order books. Market makers are important for the proper functioning of financial markets worldwide. Given the…

In many cognitive radio applications, there are multiple types of message queues. Existing queueing analysis works in underlay CR networks failed to discuss packets heterogeneity. Therefore high priority packets with impatient waiting time…

We consider the delay properties of max-weight opportunistic scheduling in a multi-user ON/OFF wireless system, such as a multi-user downlink or uplink. It is well known that max-weight scheduling stabilizes the network (and hence yields…

We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…

The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on one stock can also impact other related stocks. In this paper,…