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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…
A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
Most sales applications are characterized by competition and limited demand information. For successful pricing strategies, frequent price adjustments as well as anticipation of market dynamics are crucial. Both effects are challenging as…
Demand Response is an emerging technology which will transform the power grid of tomorrow. It is revolutionary, not only because it will enable peak load shaving and will add resources to manage large distribution systems, but mainly…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
We study the dynamic pricing problem where the demand function is nonparametric and H\"older smooth, and we focus on adaptivity to the unknown H\"older smoothness parameter $\beta$ of the demand function. Traditionally the optimal dynamic…
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be…
We present a conceptual framework for the dynamic traffic resources allocation problem in a situation of elastic demand among customers. We introduce an activity-based model to express customers' successive actions and transfers in order to…
Assortment optimization is a fundamental challenge in modern retail and recommendation systems, where the goal is to select a subset of products that maximizes expected revenue under complex customer choice behaviors. While recent advances…
We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…
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…
We consider the problem of maximizing the expected revenue from selling $k$ homogeneous goods to $n$ unit-demand buyers who arrive sequentially with independent and identically distributed valuations. In this setting the optimal posted…
We study the problem of learning shared structure \emph{across} a sequence of dynamic pricing experiments for related products. We consider a practical formulation where the unknown demand parameters for each product come from an unknown…
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 develop a new identification strategy for demand estimation when cost shifters may not be available and there are substantial variations in demand over time. This approaches relies on a kind of nonlinear difference-in-differences, in…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We study a stylized dynamic assortment planning problem during a selling season of finite length $T$. At each time period, the seller offers an arriving customer an assortment of substitutable products and the customer makes the purchase…