A queueing theory description of fat-tailed price returns in imperfect financial markets

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 price thresholds to simulate agent behavior over much longer timescales than are currently used in models of order-books. We show that many phenomena, routinely ignored in efficient market theory, can be systematically introduced into an otherwise efficient market, resulting in models that robustly replicate the most important stylized facts. We then demonstrate a close link between such threshold models and queueing theory, with large price changes corresponding to the busy periods of a single-server queue. The distribution of the busy periods is known to have excess kurtosis and non-exponential decay under various assumptions on the queue parameters. Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions

Optimum cost analysis for an Geo/Geo/c/N feedback queue under synchronous working vacations and impatient customers

This paper concerns the cost optimisation analysis of a discrete-time finite-capacity multiserver queueing system with Bernoulli feedback, synchronous multiple and single working vacations, balking, and reneging during both busy and working vacation periods. A reneged customer can be retained in the system by employing certain persuasive mechanism for completion of service. Using recursive method, the explicit expressions for the stationary state probabilities are obtained. Various system performance measures are presented. Further, a cost model is formulated. Then, the optimization of the model is carried out using quadratic fit search method (QFSM). Finally, the impact of various system parameters on the performance measures of the queueing system is shown numerically.</p

A single-server Markovian queuing system with discouraged arrivals and retention of reneged customers

Customer impatience has a very negative impact on the queuing system under investigation. If we talk from business point of view, the firms lose their potential customers due to customer impatience, which affects their business as a whole. If the firms employ certain customer retention strategies, then there are chances that a certain fraction of impatient customers can be retained in the queuing system. A reneged customer may be convinced to stay in the queuing system for his further service with some probability, say q and he may abandon the queue without receiving the service with a probability p(=1− q). A finite waiting space Markovian single-server queuing model with discouraged arrivals, reneging and retention of reneged customers is studied. The steady state solution of the model is derived iteratively. The measures of effectiveness of the queuing model are also obtained. Some important queuing models are derived as special cases of this model

Priority queueing model with balking and reneging

This investigation deals with two levels, single server preemptive priority queueing model with discouragement behaviour (balking and reneging) of customers. Arrivals to each level are assumed to follow a Poisson process and service times are exponentially distributed. The decision to balk / renege is made on the basis of queue length only. Two specific forms of balking behaviour are considered. The system under consideration is solved by using a finite difference equation approach for solving the governing balance equations of the queueing model, with infinite population of level 1 customer. The steady state probability distribution of the number of customers in the system is obtained

A survey of the machine interference problem

This paper surveys the research published on the machine interference problem since the 1985 review by Stecke & Aronson. After introducing the basic model, we discuss the literature along several dimensions. We then note how research has evolved since the 1985 review, including a trend towards the modelling of stochastic (rather than deterministic) systems and the corresponding use of more advanced queuing methods for analysis. We conclude with some suggestions for areas holding particular promise for future studies.Natural Sciences and Engineering Research Council (NSERC) Discovery Grant 238294-200