Related papers: Monopoly Pricing in Vertical Markets with Demand U…

In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…

This paper examines whether one can learn to play an optimal action while only knowing part of true specification of the environment. We choose the optimal pricing problem as our laboratory, where the monopolist is endowed with an…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…

In this study, we develop a theoretical model of strategic equilibrium bidding and price-setting behaviour by heterogeneous and boundedly rational electricity producers and a grid operator in a single electricity market under uncertain…

In this paper, we introduce a parametrized family of prices derived from the Maximum Entropy Principle. The price is obtained from the distribution that minimizes bias, given the bid and ask volume imbalance at the top of the order book.…

In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…

We explore heterogeneous prices as a source of heterogeneous or stochastic demand. Heterogeneous prices could arise either because there is actual price variation among consumers or because consumers (mis)perceive prices differently. Our…

We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…

In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…

In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…

This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…

We study the regulation of a monopolistic firm using a robust-design approach. We solve for the policy that minimizes the regulator's worst-case regret, where the regret is the difference between his complete-information payoff minus his…

The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…

In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model…

Decentralized decision making in multi--product firms can lead to efficiency losses when autonomous decision makers fail to internalize cross--product demand interactions. This paper quantifies the magnitude of such losses by analyzing the…

This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…

Price differentiation is a common strategy in many markets. In this paper, we study a static multiproduct price optimization problem with demand given by a discrete mixed multinomial logit model. By considering a mixed logit model that…