Related papers: Mobile Data Trading: Behavioral Economics Analysis…
Analyzing investors' trading behavior in cryptoasset markets provides new evidence supporting the theory that retail investors likely exhibit behavioral biases. We investigate the price discovery process between Thailand's most highly…
Battery participants in performance-based frequency regulation markets must consider the cost of battery aging in their operating strategies to maximize market profits. In this paper we solve this problem by proposing an optimal control…
This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial…
A contract is an economic tool used by a principal to incentivize one or more agents to exert effort on her behalf, by defining payments based on observable performance measures. A key challenge addressed by contracts -- known in economics…
Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…
We consider the setting in which an electric power utility seeks to curtail its peak electricity demand by offering a fixed group of customers a uniform price for reductions in consumption relative to their predetermined baselines. The…
This paper extends the existing drawdown modulation control policy to include a novel restart mechanism for trading. It is known that the drawdown modulation policy guarantees the maximum percentage drawdown no larger than a prespecified…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
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…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
The emergence and wide-spread use of online social networks has led to a dramatic increase on the availability of social activity data. Importantly, this data can be exploited to investigate, at a microscopic level, some of the problems…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
The proliferation of distributed generation and storage units is leading to the development of local, small-scale distribution grids, known as microgrids (MGs). In this paper, the problem of optimizing the energy trading decisions of MG…
Online recommendation services recommend multiple commodities to users. Nowadays, a considerable proportion of users visit e-commerce platforms by mobile devices. Due to the limited screen size of mobile devices, positions of items have a…
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set by a market maker. The results show that…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
We are often faced with the non-trivial task of designing incentive mechanisms in the era of Web3. As history has shown, many Web3 services failed mostly due to the lack of a rigorous incentive mechanism design based on token economics.…
With the rapid development of mobile communication technologies, future mobile networks will offer vast services and resources for commuting, production, daily life, and entertainment. Accurate and efficient forecasting of mobile data…