Related papers: Prices, Profits, Proxies, and Production
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…
This paper studies nonparametric identification in market level demand models for differentiated products with heterogeneous consumers. We consider a general class of models that allows for the individual specific coefficients to vary…
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…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
Many policy counterfactuals depend on how consumers value product attributes such as sugar, sodium, caffeine, alcohol, or emissions. Standard hedonic and differentiated-products models interpret these valuations statically. That…
This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several…
Empirical models of demand for differentiated products rely on low-dimensional product representations to capture substitution patterns. These representations are increasingly proxied by applying ML methods to high-dimensional, unstructured…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We show that many machine learning goals, such as improved fairness metrics, can be expressed as constraints on the model's predictions, which we call rate constraints. We study the problem of training non-convex models subject to these…
We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
How much do individuals contribute to team output? I propose an econometric framework to quantify individual contributions when only the output of their teams is observed. The identification strategy relies on following individuals who work…
We study a variation of the price competition model a la Bertrand, in which firms must offer menus of contracts that obey monotonicity constraints, e.g., wages that rise with worker productivity to comport with equal pay legislation. While…
We analyze demand settings where heterogeneous consumers maximize utility for product attributes subject to a nonlinear budget constraint. We develop nonparametric methods for welfare-analysis of interventions that change the constraint.…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
This paper considers the practically important case of nonparametrically estimating heterogeneous average treatment effects that vary with a limited number of discrete and continuous covariates in a selection-on-observables framework where…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…