Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Subject "Limit order book"

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  • Collaborating queues: large service network and a limit order book 

    Yudovina, Elena (University of CambridgeDepartment of Pure Mathematics and Mathematical StatisticsEmmanuel CollegeStatistics Laboratory, 2012-10-09)
    We analyse the steady-state behaviour of two different models with collaborating queues: that is, models in which "customers" can be served by many types of "servers", and "servers" can process many types of "customers". The ...