{“状态”:“确定”,“消息类型”:“工作”,“信息版本”:“1.0.0”,“邮件”:{“索引”:{“日期-部分”:[[2024,7,11]],“日期-时间”:“2024-07-11T14:39:23Z”,“时间戳”:1720708763840},“引用-计数”:49,“发布者”:“运筹学与管理科学研究所(INFORMS)”,“问题”:“4”,“内容-域”:{:“域”:[],“交叉标记-限制”:false},“short-container-title”:[“Operations Research”],“published-print”:{“date-parts”:[[2021,7]]},”抽象“:”在现代股票市场中,参与者可以选择许多交易所进行交易,每个交易所通常都作为电子限额订单进行操作。本文将此设置分析为一个多类排队系统。考虑到投资者2019年跨交易所的订单决策的影响,他们发现这种分散市场的均衡表现出状态空间崩溃特性,即不同交易所的排队是耦合的,市场的整体行为是通过一个一维过程捕获的,这个过程可以被视为所有交易所的加权总队列长度。这种耦合现象的关键驱动因素是预期延迟,而不是队列长度本身<\/jats:p>“,”DOI“:”10.1287\/oper.2020.1989“,”type“:”journal-article“,”created“:{”date-parts“:[2021,6,14]],”date-time“:”2021-06-14T14:25:37Z“,”timestamp“:1623680737000},”page“:10.1287“,”volume“:”69“,”author“:[{“ORCID”:“http://\/ORCID.org\/0000-0002-4283-2177”,“authenticated-ORCID”:false,“given”:”Costis“,”family“:”Maglaras“,”sequence“:”first“,”affiliation“:[}“name”:“哥伦比亚大学商学院,纽约10027;”}]},{“ORCID”:“http://\-ORCID.org\0000-0002-4 489-9260”,“authenticated-ORCID“:false”,“giving“:”Ciamac C.”,“family”:“Moallemi”,“sequence”:“additional”,“affiliation”:[{“name”:“Graduate School of Business,Columbia University,New York,New York 10027;”}]},{“given”:“Hua”,“family”:“Zheng”,“sequence”:“additional”,“affiliation”:[{“name”:“JP Morgan Chase,New York 10029”}]}],“member”:“109”,“reference”:[{“key”:“B1”,doi asserted by“:”publisher“,”DOI“:”10.1080\/14697680802595700“},{”key“:”B2“,“DOI-asserted-by”:“publisher”,“DOI”:“10.1287\/opere.1060.0337”},“key”:“B2000”,“doiasserted-by“:”publisher 2003.00618.x“},{”key“:”B4“,”首页“:”1074“,“卷”:“10”,“作者”:“Bassamboo A“,“年份”:“2004年”,“新闻标题”:“Oper。研究“},{”键“:”B5“,”doi-asserted-by“:”publisher“,”doi“:”10.1287\/opere.1080.0645“}、{”key“:”B6“,”doi-assertd-by“:”publisher“,”DI:“10.1016\/S0304-405X(03)00168-5”}、}”键”:“B7”、“doi-assert-by”:“publisher”、“doi”:“10.1287\/mnsc.1100.1243”},”{“key”:“”B9“,”doi-asserted-by“:”publisher“,”doi“:”10.1080\/14697680400000022“},{“key”:“B10”,“doi-assert-by”:“publisher“,”DOI“:”10.1023\/A:1019160803783“},{”key“:”B12“,”DOI-asserted-by“:”publisher \/110856605“},{“key”:“B17”,“DOI-asserted-by”:“publisher”,“DOI”:“10.1287\/opere.1090.0780”},{“key”:“B19”,“doi-asserted-by”:“publisher”,“doi”:“10.1111\/0022-1082.00297”},{”key“:”B20“,”doi-assert-by“:”publisher“,”doi“:”10.1111\/j.1540-6261.2008.01312.x“},”key:“B21”,“”doi-sserted-by“”:“publisher”,“DI:”10.1093\/rfs\/hhi029“}doi-asserted-by“:”publisher“,”doi“:”10.1080\/14697680903373692“},{”key“:”B23“,”doi-assert-by“:“publisher”,“DOI”:“10.1111\/j.1540-6261.1994.tb02450.x”},{“key”:“B25”,DOI断言者:“publisher”,“DOI”:“10.1111\/j.1540-6261.1987.tb04367.x”},{“key”:“B26”,DOI断言者:“publisher”,“DOI”:“10.1016/0304-405X(85)90044-3”},{“key”:“B27”,DOI断言者:“publisher”,“DOI”:“10.1016 \/S0304-405X(99)00059-8“},{”key“:”B29“,”DOI断言者“:“publisher”,“DOI”:“10.1287\/13-SSY097”},{“key”:“B30”,“DOI-asserted-by”:“publister”,“DOI”:”10.1111\/j.1540-6261.1979.tb02078.x“}”,{”key“:”B31“,”DOI-assert-by“:”crossref“,”unstructured“:”Harrison JM(1988)具有异质客户群的排队网络的布朗模型。Fleming W,Lions PL,eds。随机微分系统,随机控制理论与应用,Proc。IMA(Springer-Verlag,纽约),147\u2013186.“,“DOI”:“10.1007\/978-1-4613-8762-6_11”},{“key”:“B32”,“DOI-asserted-by”:“crossref”,“unstructured”:“Harrison JM(1995)多类排队网络的平衡流体模型:一个重流量推测。Kelly F,Williams R,eds.随机网络,Proc.IMA第71卷(纽约,Springer-Verlag),1\u201320.“,”DOI“:”10.1007\/9781-4757-2418-9_1“},{“key”:“B33”,“DOI-asserted-by”:“publisher”,“DOI”:“10.1214\/aoap\/1019737665”},“{”key“:”B34“,”DOI-assert-by“:”publisher“,“:”10.1007\/978-1-4615-0359-0“},{”key“:”B38“,”DOI-asserted-by“:”publisher“,”DOI“:”10.1111\/0034-6527.00313“},{“密钥”:“B39”,“doi-asserted-by”:“publisher”,“doi”:“10.1016\/0304-405X(90)90013-P”},}“密钥“:”B40“,”doi-assert-by“:”publisher“,”doi“:”10.1111\/j.1468-0262.2004.00531.x“}、{“key”:“B42”,“doi-asserted-by”“:”publisher“,”doi“:“10.2469\/faj.v54.n4.2198“},{”key“:”B45“,”doi-asserted-by“:”publisher“,”doi“:”10.2307\/1913210“}”,{“key”:“B48“,”doi-asserted-by“:”publisher“,”doi“:”10.1287\/opere.1060.0282“},{“key”:“B49”,“doi-assert-by”:“publisher”,“doi”:“10.1287\/opere.45.3.407”},“key“:“publisher”,“doi”:“10.1287\/mnsc.40.5.633”},{“key”:“B52”,“doi-asserted-by”:“publishers”,“doi”:10.2307\/2297230“},{“key”:“B55”,“doi-asserted-by”:“crossref”,“unstructured”:“Mandelbaum A,\nPats G(1995)State-dependent queues:Approximations and applications.Kelly F,Williams R,eds.Stochastic Networks,第71卷,Proc.IMA(Springer-Verlag,New York),239\u2013282.”,“doi”:“10.1007\/9781-4757-2418-9_13”},“{”key“:”B56“,”doi-assert-by“:”publisher“,”DOI“:”10.1287\/opere.38.5.870“},{“key”:“B57”,“DOI-asserted-by”:“publisher”,“DOI”:“10.1016\/j.jfineco.2011.02.006”},“{“key”:”B59“,”DOI-assert-by“:”crossref“,“unstructured”:“Parlour CA,nSeppi DJ(2008)Limit order markets:A surview.Boot AWA,Thakor AV,eds.Handbook of Financial Intermediation&Banking 5,63\u201395。“,”DOI“:”10.1016\/B978-044451558-2.50007-6“},{“key”:“B60”,“doi-asserted-by”:“publisher”,“doi”:“10.1093\/rfs\/11.4789”},}“key:”B62“,”doi-assert-by“:”publisher“,”doi“:”10.1287\/moor.1060.0196“}11“},{”key“:”B64“,”doi-asserted-by“:”publisher“,”doi“:”10.1287\/msom.2.4.392.12336“}”,{“key”:“B68“,”doi-asserted-by“:”publisher“,”doi“:”10.1017\/S0269964805050096“},{“key”:“B70”,“volume-title”:“Systems and Control”,“author”:“Zak SH”,“year”:“2003”}],“container-title“:[”Operations Research“],“original-title):[],“language”:“en”,“link”:[{“URL”:“https:\\/pubsonline.notifies.org\/doi\/pdf\/10.1 287\/opere.2020.1989“,”内容类型“:”未指定“,”content-version“:”vor“,”intended-application“:”similarity-checking“}],”deposed“:{”date-parts“:[[2023,4,2]],”date-time“:”2023-04-02T19:56:36Z“,”timestamp“:1680465396000},”score“:1,”resource“:”{“primary”:{“URL”:“https:\/\/pubsonline.neworts.org\/doi\/10.1287\/opere.2020.1989”},“subtitle”:[],“shorttitle”:[],“已发布”:{“日期部分”:[[2021,7]]},“references-count“:49,”journal-issue“:{”issue“:“4”,“published-print”:{“date-parts”:[[2021,7]]}},“alternative-id”:[“10.1287\/opere.2020.1989”],“URL”:“http://\/dx.doi.org\/10.1287\/oper.e020.1989”,“relation”:{},”ISSN“:[”0030-364X“,”1526-5463“],”ISSN-type“:[{”value“:“0030-364X”,“类型”:“打印”},{“值”:“1526-5463”,“种类”:“电子”}],“主题”:[],“已发布“:{“date-parts”:[[2021,7]]}}}