Related papers: Dynamic Pricing with Variable Order Sizes for a Mo…
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.…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
We study an online contextual dynamic pricing problem, where customers decide whether to purchase a product based on its features and price. We introduce a novel approach to modeling a customer's expected demand by incorporating…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
Assortment optimization is a critical tool for online retailers aiming to maximize revenue. However, optimizing purely for revenue can lead to unbalanced sales across products, potentially causing a long tail of low-selling products and…
In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…
Lately, personalized marketing has become important for retail/e-retail firms due to significant rise in online shopping and market competition. Increase in online shopping and high market competition has led to an increase in promotional…
We initiate the study of contextual dynamic pricing with a heterogeneous population of buyers, where a seller repeatedly posts prices (over $T$ rounds) that depend on the observable $d$-dimensional context and receives binary purchase…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…
Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…
Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…
Partnering with a large online retailer, we consider the problem of sending daily personalized promotions to a userbase of over 20 million customers. We propose an efficient policy for determining, every day, the promotion that each…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We revisit the online dynamic acknowledgment problem. In the problem, a sequence of requests arrive over time to be acknowledged, and all outstanding requests can be satisfied simultaneously by one acknowledgement. The goal of the problem…
In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility function via a competitive equilibrium argument. Assuming zero…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
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…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…