54 search results - page 1 / 11 » A Stochastic Model for Order Book Dynamics |
IOR
2010
13 years 3 months ago
2010
CORR
2006
Springer
13 years 5 months ago
2006
Springer
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of t...
EOR
2006
13 years 5 months ago
2006
This paper proposes a stochastic dynamic programming model for a short-term capacity planning model for air cargo space. The long-term cargo space is usually acquired by freight fo...
MMAS
2011
Springer
12 years 12 months ago
2011
Springer
While existing mathematical descriptions can accurately account for phenomena at microscopic scales (e.g. molecular dynamics), these are often high-dimensional, stochastic and thei...
HICSS
2007
IEEE
13 years 11 months ago
2007
IEEE
We introduce a stochastic model that describes the quasistatic dynamics of an electric transmission network under perturbations introduced by random load fluctuations, random rem...