We fit a bivariate Hawkes process to arrival data for buy and sell trades in FX markets. The model can be used to predict future imbalance of buy and sell trades conditional on history of recent trade arrivals. We derive formulae for the raw price impact of a trade as a function of time assuming that trade arrivals are governed by a Hawkes process and that the price is a martingale, and show th...

We study the waiting-time distributions in cyclic polling models with renewal arrivals, general service and switch-over times, and exhaustive service at each of the queues. The assumption of renewal arrivals prohibits an exact analysis and reduces the available analytic results to heavy-traffic asymptotics, limiting results for large switch-over times and large numbers of queues, and some numer...

This paper analyses a discrete-time Geo/G/1 retrial queue with batch arrivals in which individual arriving customers have a control of admission. We study the underlying Markov chain at the epochs immediately after the slot boundaries making emphasis on the computation of its steady-state distribution. To this end we employ numerical inversion and maximum entropy techniques. We also establish a...

We present a case study in which thinning is applied to simulate time-varying arrivals at a consumer electronics store. The underlying simulation was developed to support an analysis of new staffing schedules for retail sales associates, given proposed changes in store layout and operating procedures. A principal challenge was developing a modeling approach for customer arrivals, where it was u...