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We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
In addition to maximizing the total revenue, decision-makers in lots of industries would like to guarantee balanced consumption across different resources. For instance, in the retailing industry, ensuring a balanced consumption of…
The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…
When agents with independent priors bid for a single item, Myerson's optimal auction maximizes expected revenue, whereas Vickrey's second-price auction optimizes social welfare. We address the natural question of trade-offs between the two…
The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…
We consider a Cournot oligopoly model where multiple suppliers (oligopolists) compete by choosing quantities. We compare the social welfare achieved at a Cournot equilibrium to the maximum possible, for the case where the inverse market…
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management is discussed by utilizing newsvendor problem in single…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
This paper applies a recurrent neural network, the LSTM, to forecast inflation. This is an appealing model for time series as it processes each time step sequentially and explicitly learns dynamic dependencies. The paper also explores the…
We study an Arrow-Debreu economy with externalities generated by multiplex networks. Market equilibrium prices reflect both the preferences and scarcity of goods, consumers' network centralities arising from goods' externalities, as well as…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
We propose an efficient method of finding an optimal solution for a multi-item continuous review inventory model in which a bivariate Gaussian probability distribution represents a correlation between the demands of different items. By…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
We study partially linear models when the outcome of interest and some of the covariates are observed in two different datasets that cannot be linked. This type of data combination problem arises very frequently in empirical microeconomics.…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…