scholarly journals HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS

2016 ◽  
Vol 32 (1) ◽  
pp. 96-125 ◽  
Author(s):  
Xuefeng Gao ◽  
S.J. Deng

In this paper, we establish a fluid limit for a two-sided Markov order book model. The main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the “sell-side shape” and “buy-side shape” of an order book converges to a pair of deterministic measure-valued processes in a certain sense. We also test the fluid approximation on data. The empirical results suggest that the approximation is reasonably good for liquidly traded stocks in certain time periods.

2014 ◽  
Vol 633-634 ◽  
pp. 443-446
Author(s):  
Zi Min Jin ◽  
Jun Qing Xu ◽  
Jian Hua Wu ◽  
Yu Xiu Yan

In order to weave the double face jacquard fabric with pattern effect at the same time increasing warming function of the jacquard, this paper added far infrared polyester as extra weft to stitch the face and back layers. Combining the basic structure design of the double face jacquard fabric, three-layer weave with extra weft stitching could be done. By this method extra weft could be hidden in the form of surface layer floats covering stitching intersection points so as to have heat retention effect and unique appearance of reversible jacquard isn’t impacted. In addition, the weft yarns used to produce the face and back layers were silk and wool, and far infrared polyester was hidden in the inside of the fabric as extra weft which ensured the jacquard being good for skin. Empirical results show that the method achieves good decorative property and warming function of the double face jacquard fabric with pattern effect, and provides reference and direction for the design of digital jacquard fabric.


2012 ◽  
Vol 17 (3) ◽  
pp. 327-342 ◽  
Author(s):  
Saulius Minkevičius ◽  
Stasys Steišūnas

The object of this research in the queueing theory is theorems about the functional strong laws of large numbers (FSLLN) under the conditions of heavy traffic in an open queueing network (OQN). The FSLLN is known as a fluid limit or fluid approximation. In this paper, FSLLN are proved for the values of important probabilistic characteristics of the OQN investigated as well as the virtual waiting time of a customer and the queue length of customers. As applications of the proved theorems laws of Little in OQN are presented.


1995 ◽  
Vol 27 (01) ◽  
pp. 273-292 ◽  
Author(s):  
N. G. Bean ◽  
R. J. Gibbens ◽  
S. Zachary

In this paper we consider the analysis of call blocking at a single resource with differing capacity requirements as well as differing arrival rates and holding times. We include in our analysis trunk reservation parameters which provide an important mechanism for tuning the relative call blockings to desired levels. We base our work on an asymptotic regime where the resource is in heavy traffic. We further derive, from our asymptotic analysis. methods for the analysis of finite systems. Empirical results suggest that these methods perform well for a wide class of examples.


2019 ◽  
Vol 109 ◽  
pp. 33-37 ◽  
Author(s):  
Patrick Bajari ◽  
Victor Chernozhukov ◽  
Ali Hortaçsu ◽  
Junichi Suzuki

We examine the impact of “big data” on firm performance in the context of forecast accuracy using proprietary retail sales data obtained from Amazon. We measure the accuracy of forecasts in two relevant dimensions: the number of products (N), and the number of time periods for which a product is available for sale (T). Theory suggests diminishing returns to larger N and T, with relative forecast errors diminishing at rate 1/sqrt(N)+1/sqrt(T). Empirical results indicate gains in forecast improvement in the T dimension but essentially flat N effects.


2021 ◽  
Author(s):  
Lun Yu ◽  
Seyed Iravani ◽  
Ohad Perry

The paper “Fluid-Diffusion-Hybrid (FDH) Approximation” proposes a new heavy-traffic asymptotic regime for a two-class priority system in which the high-priority customers require substantially larger service times than the low-priority customers. In the FDH limit, the high-priority queue is a diffusion, whereas the low-priority queue operates as a (random) fluid limit, whose dynamics are driven by the former diffusion. A characterizing property of our limit process is that, unlike other asymptotic regimes, a non-negligible proportion of the customers from both classes must wait for service. This property allows us to study the costs and benefits of de-pooling, and prove that a two-pool system is often the asymptotically optimal design of the system.


1995 ◽  
Vol 27 (1) ◽  
pp. 273-292 ◽  
Author(s):  
N. G. Bean ◽  
R. J. Gibbens ◽  
S. Zachary

In this paper we consider the analysis of call blocking at a single resource with differing capacity requirements as well as differing arrival rates and holding times. We include in our analysis trunk reservation parameters which provide an important mechanism for tuning the relative call blockings to desired levels. We base our work on an asymptotic regime where the resource is in heavy traffic. We further derive, from our asymptotic analysis. methods for the analysis of finite systems. Empirical results suggest that these methods perform well for a wide class of examples.


2021 ◽  
Vol 31 (2) ◽  
pp. 1-26
Author(s):  
Paul Piho ◽  
Jane Hillston

Fluid approximation results provide powerful methods for scalable analysis of models of population dynamics with large numbers of discrete states and have seen wide-ranging applications in modelling biological and computer-based systems and model checking. However, the applicability of these methods relies on assumptions that are not easily met in a number of modelling scenarios. This article focuses on one particular class of scenarios in which rapid information propagation in the system is considered. In particular, we study the case where changes in population dynamics are induced by information about the environment being communicated between components of the population via broadcast communication. We see how existing hybrid fluid limit results, resulting in piecewise deterministic Markov processes, can be adapted to such models. Finally, we propose heuristic constructions for extracting the mean behaviour from the resulting approximations without the need to simulate individual trajectories.


2011 ◽  
Vol 28 (03) ◽  
pp. 401-417
Author(s):  
YONGJIANG GUO

The re-entrant line networks under a first-buffer-first-served (FBFS) service discipline are considered in this paper. Under uniform topology, if the scaled arrival process and the scaled service process converge to the corresponding fluid limit processes with an exponential rate, we prove that the scaled processes characterizing the re-entrant line converge to the corresponding fluid limit processes with the exponential rate. Here the scaled processes include the queue length process, workload process, busy time process and idle time process.


1998 ◽  
Vol 02 (03) ◽  
pp. 367-382 ◽  
Author(s):  
Tudor Rickards

Organisational creativity remains an ill-defined concept. Studies have failed to arrive at a convincing general theory of creativity and, more recently, attention has turned to the possibilities of middle-range theories in which creativity is treated as a context-specific phenomenon. A new approach for exploring the nature of creativity of organisations is reported with preliminary empirical results. The method draws on signalling theory applied to a database of companies generated from citations and executive nominations. Companies such as 3M, IBM, Sony, Disney and Proctor & Gamble were found to yield strong and frequent signals over extended time periods. Strong signals have also been detected from younger firms such as Microsoft, Virgin and Nike. The approach offers the possibility of industry-specific benchmarking for corporate creativity, and for testing the relationship between an organisation's creativity, innovativeness and other change-related features.


Author(s):  
Xuefeng Gao ◽  
J. G. Dai ◽  
Ton Dieker ◽  
Shijie Deng

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