We examine a Markovian model for the price evolution of a stock, in which the probability of local upward or downward movement is arbitrarily dependent on the current price itself...
: Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and pr...
Abstract--The efficient market hypothesis (EMH) is a cornerstone of financial economics. The EMH asserts that security prices fully reflect all available information and that the s...
William Leigh, Cheryl J. Frohlich, Steven Hornik, ...
Several objectives have been identified in developing the random early drop (RED): decreasing queueing delay, increasing throughput, and increasing fairness between short and long...
Abstract--This paper addresses the fairness of Medium Access Control (MAC) protocols that are capable of handling interference on the physical layer to a varying extent. The variat...
Ulrike Korger, Yingrui Chen, Christian Hartmann, K...