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The Jackson Queueing Network Model Built Using Poisson Measures. Application To A Bank Model

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  • Ciuiu Daniel

    (Technical University of Civil Engineering Bucharest Faculty of Civil, Industrial and Agricultural Engineering Department of Mathematics and Computer Science Bd. Lacul Tei No. 124, Sector 2, Bucharest 020396, Romania. Romanian Institute for Economic Forecasting, Calea 13 Septembrie No. 13, Bucharest, Romania.)

Abstract

In this paper we will build a bank model using Poisson measures and Jackson queueing networks. We take into account the relationship between the Poisson and the exponential distributions, and we consider for each credit/deposit type a node where shocks are modeled as the compound Poisson processes. The transmissions of the shocks are modeled as moving between nodes in Jackson queueing networks, the external shocks are modeled as external arrivals, and the absorption of shocks as departures from the network.

Suggested Citation

  • Ciuiu Daniel, 2014. "The Jackson Queueing Network Model Built Using Poisson Measures. Application To A Bank Model," Folia Oeconomica Stetinensia, Sciendo, vol. 13(2), pages 7-22, July.
    • Handle: RePEc:vrs:foeste:v:13:y:2014:i:2:p:16:n:5
    DOI: 10.2478/foli-2013-0016
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    References listed on IDEAS

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    1. Helyette Geman & Dilip B. Madan & Marc Yor, 2001. "Asset Prices Are Brownian Motion: Only In Business Time," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 4, pages 103-146, World Scientific Publishing Co. Pte. Ltd..
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    More about this item

    Keywords

    Jackson queueing networks; Poisson measures; banking;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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