How can stochastic models analyze order book dynamics?

Mar 22, 2011 ... ... stochastic process is present in commodity prices. In addition, we build a dynamic stochastic general equilibrium model with informational ... A model is proposed which treats network traffic as a stochastic process with an infinite mean delay. Such a model can be used to explain the appearance of ... Apr 15, 2025 ... ... stochastic process. We introduce an informational taxonomy to profile these correlations via a suite of multivariate information measures. ... Stochastic Processes and their Ap- plications, 74 (2) 195-201, 1998. 21 ... gineering and Informational Science, 18 (4) 493-502, 2004. 26. Zazanis ... ... Stochastic Markov Processes in Reliability”, (with A. Ay, J. Landon and S. Ozekici), 2021, Probability in the Engineering and Informational Sciences, Vol. ... stochastic time series. We dissect the uncertainty of a single observation ... process's internal information dynamics. The measures scale with the ... Apr 28, 2024 ... It is shown that Bayesian updates can be characterized as additional informational drift in the underlying asset's stochastic process. ufacturing systems, information economics, stochastic processes and performance model- ing for capacity planning and pricing. Seidmann has consulted with ... In particular, if we partition a set of stochastic processes into groups whose sums must be forecast independently, then the statistical properties of each ... ... information to solve engineering and technology problems by different methods. ... processes, r th order Markov chains, time series as stochastic processes.