Related papers: Revenue Loss in Shrinking Markets

Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…

In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid…

We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constraint. The first result in this paper reveals that in reasonable…

In this paper, we present a simplified framework to represent competition, coordination and bargaining in fisheries when they operate under financial and technological constraints. Competition within constraints leads to a particular type…

A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…

We study the multi-item mechanism design problem where a monopolist sells $n$ heterogeneous items to a single buyer. We focus on buy-many mechanisms, a natural class of mechanisms frequently used in practice. The buy-many property allows…

We study efficiency loss in Bayesian revenue optimal auctions. We quantify this as the worst case ratio of loss in the realized social welfare to the social welfare that can be realized by an efficient auction. Our focus is on auctions with…

We propose a new prediction method for multivariate linear regression problems where the number of features is less than the sample size but the number of outcomes is extremely large. Many popular procedures, such as penalized regression…

Search prominence may have a detrimental impact on a firm's profits in the presence of costly product returns. We analyze the impact of search prominence on firm profitability in a duopoly search model, considering the presence of costly…

Industries can enter one country first, and then enter its neighbors' markets. Firms in the industry can expand trade network through the export behavior of other firms in the industry. If a firm is dependent on a few foreign markets, the…

We study how to optimally segment monopolistic markets with a redistributive objective. We characterize optimal redistributive segmentations and show that they (i) induce the seller to price progressively, i.e., charge richer consumers…

I show that firms price almost competitively and consumers can infer product quality from prices in markets where firms differ in quality and production cost, and learning prices is costly. Bankruptcy risk or regulation links higher quality…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…

Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…

Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…

Adequate sampling is essential for the well-functioning of a market surveillance system. As small as possible statistically significant sample size is the main factor that determines the costs of market surveillance actions. This paper…

This paper presents a simple shrinkage estimator of rates based on Bayesian methods. Our focus is on crime rates as a motivating example. The estimator shrinks each town's observed crime rate toward the country-wide average crime rate…

We study a spatially homogeneous model of a market where several agents or companies compete for a wealth resource. In analogy with ecological systems the simplest case of such models shows a kind of "competitive exclusion" principle.…

We explore the effects of social influence in a simple market model in which a large number of agents face a binary choice: 'to buy/not to buy' a single unit of a product at a price posted by a single seller (the monopoly case). We consider…