24 citations · 31 across the 4 of their papers we have counts for
Showing 2015Show all
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q-fin.TR2015
A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
Xin Liu, Qi Gong, Vidyadhar G. Kulkarni
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the ma…
math.PR2015★ 6 cited
The snowball effect of customer slowdown in critical many-server systems
Jori Selen, Ivo Adan, Vidyadhar Kulkarni +1
Customer slowdown describes the phenomenon that a customer's service requirement increases with experienced delay. In healthcare settings, there is substantial empirical evidence f…