We consider a general queueing model with a Poisson arrival process whose rate is random, and realized once for the entire process. We show that the distribution of the arrival rate at arrival instants is the size-biased counterpart of the original distribution. In particular, the ASTA (arrivals...

In a limit order market, orders submitted at about the same time are subject to random latencies and will be queued accordingly. A theoretical model captures the strategic behavior of market makers who, in anticipation of such queuing uncertainty, fiercely compete for the rent in liquidity...