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We observe nominal price rigidity in tobacco markets across China. The monopolistic seller responds by adjusting product assortments, which remain unobserved by the analyst. We develop and estimate a logit demand model that incorporates…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…
Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
Large-scale online recommendation systems must facilitate the allocation of a limited number of items among competing users while learning their preferences from user feedback. As a principled way of incorporating market constraints and…
We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
We study the classic setting of envy-free pricing, in which a single seller chooses prices for its many items, with the goal of maximizing revenue once the items are allocated. Despite the large body of work addressing such settings, most…
We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…
We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…
We present empirical evidence on the relationship between demand shocks and price changes, conditional on returns to scale. We find that in industries with decreasing returns to scale, demand increases (which raise costs) correspond to…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…