54 search results - page 1 / 11 » A Stochastic Model for Order Book Dynamics |
IOR
2010
14 years 8 months ago
2010
CORR
2006
Springer
14 years 10 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
14 years 10 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...
115
Voted
MMAS
2011
Springer
14 years 5 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...
109
Voted
HICSS
2007
IEEE
15 years 4 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...