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- Josh Reed, Tolga Tezcan
- 2009

We obtain a heavy-traffic limit for the GI/M/n+GI queue which includes the entire abandonment distribution. Our main approach is to scale the hazard rate function in an appropriate way such that ourâ€¦ (More)

- Josh Reed, Rishi Talreja
- 2008

We study the G/GI/âˆž queue in heavy-traffic using tempered distribution-valued processes which track the age and residual service time of each customer in the system. In both cases, we use theâ€¦ (More)

We study random walks whose increments are Î±-stable distributions with shape parameter 1 < Î± < 2. Specifically, assuming a mean increment size which is negative, we provide series expansions in termsâ€¦ (More)

- Josh Reed, Tolga Tezcan
- Operations Research
- 2012

We obtain a heavy traffic limit for the GI/M/n + GI queue, which includes the entire patience time distribution. Our main approach is to scale the hazard rate function of the patience timeâ€¦ (More)

- Marco Avellaneda, Josh Reed, Sasha Stoikov
- Algorithmic Finance
- 2011

Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smithâ€¦ (More)

- Josh Reed, Yair Shaki
- Math. Oper. Res.
- 2015

We consider the G/GI/N queue with multiple server pools, each possessing a poolspecific service time distribution. The class of non-idling routing policies which we consider are referred to asâ€¦ (More)

- Josh Reed, Bert Zwart
- Operations Research
- 2014

â€¢ A submitted manuscript is the author's version of the article upon submission and before peer-review. There can be important differences between the submitted version and the official publishedâ€¦ (More)

We study the one-sided limit order book corresponding to limit sell orders and model it as a measure-valued process. Limit orders arrive to the book according to a Poisson process and are placed onâ€¦ (More)

- Maria Remerova, Josh Reed, Bert Zwart
- Math. Oper. Res.
- 2014

Bandwidth-sharing networks as introduced by MassouliÃ© & Roberts (1998) model the dynamic interaction among an evolving population of elastic flows competing for several links. With policies based onâ€¦ (More)

We consider the following Markovian dynamic on point processes: at constant rate and with equal probability, either the rightmost atom of the current configuration is removed, or a new atom is addedâ€¦ (More)