Joshua Reed

About

The page provides information about the New York University Stern Center for Research Computing (SCRC), which is dedicated to providing world-class computational facilities and services to researchers at the Stern School of Business. The center offers a variety of services including a moderately sized Slurm HPC cluster, Cloud Computing (Virtual Machines), data acquisition and storage, research software, and access to WRDS (Wharton Research Data System). The research software suite is designed to facilitate advanced computational research and data analysis, while the datasets are sourced from diverse disciplines through collaborations with data repositories, platforms, and academic institutions. The compute services and storage systems support faculty and researchers' projects with high-speed, robust, and scalable solutions. The page emphasizes the center's role in supporting computational research at NYU Stern but does not provide specific details about Professor Joshua Reed's individual research focus, background, or key contributions.

Research topics

• Computer Science
• Mathematics
• Mathematical optimization
• Combinatorics
• Statistics
• Mathematical analysis
• Microeconomics
• Economics
• Geometry
• Econometrics

Selected publications

• High Frequency Asymptotics for the Limit Order Book

  Market Microstructure and Liquidity · 2016-06-01 · 37 citations

  article

  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 on the book according to a distribution which varies depending on the current best price. Market orders to buy periodically arrive to the book according to a second, independent Poisson process and remove from the book the order corresponding to the current best price. We consider the above described lim…

  PublisherDOI

• Large-Scale Bundle-Size Pricing: A Theoretical Analysis

  Operations Research · 2021 · 28 citations

  Senior authorCorresponding

  Can you sell multiple items by providing only prices for different sizes of bundles rather than the different possible combinations of them? In this paper, we provide a framework for understanding “bundle-size pricing” (or simply, BSP) where only a menu of bundle sizes and their corresponding prices are offered. Although BSP is commonly used across several industries, little is known about the optimal BSP policy in terms of sizes and prices, along with the theoretical properties of its profit. I…

  PublisherDOI

• Large-Scale Bundle Size Pricing: A Theoretical Analysis

  SSRN Electronic Journal · 2017-01-01 · 18 citations

  articleOpen accessSenior author
  PublisherDOI

• Fluid Limits for Bandwidth-Sharing Networks with Rate Constraints

  Mathematics of Operations Research · 2014-02-21 · 13 citations

  articleOpen access

  Bandwidth-sharing networks as introduced by Roberts and Massoulié [Roberts JW, Massoulié L (1998) Bandwidth sharing and admission control for elastic traffic. Proc. ITC Specialist Seminar, Yokohama, Japan], Massoulié and Roberts [Massoulié L, Roberts JW (1999) Bandwidth sharing: Objectives and algorithms. Proc. IEEE Infocom. (Books in Statistics, New York), 1395–1403] model the dynamic interaction among an evolving population of elastic flows competing for several links. With policies based on o…

  PublisherOA PDFDOI

• Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees

  Stochastic Systems · 2017-12-01 · 11 citations

  articleOpen access

  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 added at a random distance from the rightmost atom. Interpreting atoms as limit buy orders, this process was introduced by Lakner et al. [Lakner et al. (2016) High frequency asymptotics for the limit order book. Mark. Microstructure Liq. 2:1650004 [83 pages]] to model a one-sided limit order book. We consi…

  PublisherOA PDFDOI

Frequent coauthors

• Bert Zwart

  16 shared

• Peter Lakner

  New York University

  11 shared

• Anatolii A. Puhalskii

  Institute for Information Transmission Problems

  9 shared

• Amy R. Ward

  University of Chicago

  8 shared

• Dongyuan Zhan

  University College London

  6 shared

• Florian Simatos

  École Nationale de l’Aviation Civile

  3 shared

• Marco Avellaneda

  3 shared

• Maria Frolkova

  University of Amsterdam

  3 shared

Similar researchers at New York University

• Michael Feldmanh-73
• Anindya Ghoseh-60
• Alexander Tuzhilinh-49