Related papers: Mathematical analysis of long tail economy using s…
The recent M5 competition has advanced the state-of-the-art in retail forecasting. However, we notice important differences between the competition challenge and the challenges we face in a large e-commerce company. The datasets in our…
This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…
The paper introduces a novel mechanism for approximating traffic of the academic sites (universities and research institutes) in the World Wide Web based on Alexa rankings. Firstly we introduce and discuss new method for calculating score…
In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…
Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…
We give new formulas on the total number of born particles in the stable birth-and-assassination process, and prove that it has an heavy-tailed distribution. We also establish that this process is a scaling limit of a process of rumor…
Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…
We consider a model for a one-sided limit order book proposed by Lakner et al. We show that it can be coupled with a branching random walk and use this coupling to answer a non-trivial question about the long-term behavior of the price. The…
Computing market equilibria is a problem of both theoretical and applied interest. Much research to date focuses on the case of static Fisher markets with full information on buyers' utility functions and item supplies. Motivated by…
We study the ranking problem in generalized linear bandits. At each time, the learning agent selects an ordered list of items and observes stochastic outcomes. In recommendation systems, displaying an ordered list of the most attractive…
We consider Stochastic Volatility processes with heavy tails and possible long memory in volatility. We study the limiting conditional distribution of future events given that some present or past event was extreme (i.e. above a level which…
One-max search is a classic problem in online decision-making, in which a trader acts on a sequence of revealed prices and accepts one of them irrevocably to maximise its profit. The problem has been studied both in probabilistic and in…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
In automated decision making processes in the online fashion industry, the 'predict-then-optimize' paradigm is frequently applied, particularly for markdown pricing strategies. This typically involves a mixed-integer optimization step,…
The question of aggregating pair-wise comparisons to obtain a global ranking over a collection of objects has been of interest for a very long time: be it ranking of online gamers (e.g. MSR's TrueSkill system) and chess players, aggregating…
It was observed that the number of cases and deaths for infectious diseases were associated with heavy-tailed power law distributions such as the Pareto distribution. While Pareto distribution was widely used to model the cases and deaths…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…