Related papers: Data assimilation in price formation
This paper contributes to the literature on parametric demand estimation by using deep learning to model consumer preferences. Traditional econometric methods often struggle with limited within-product price variation, a challenge addressed…
Along the optimal trajectory of an optimal control problem constrained by a semilinear parabolic partial differential equation, we prove the differentiability of the value function with respect to the initial condition and, under additional…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
We consider the problem of estimating the expected value of information (the knowledge gradient) for Bayesian learning problems where the belief model is nonlinear in the parameters. Our goal is to maximize some metric, while simultaneously…
This work addresses inverse linear optimization where the goal is to infer the unknown cost vector of a linear program. Specifically, we consider the data-driven setting in which the available data are noisy observations of optimal…
We study a control problem governed by a semilinear parabolic equation. The control is a measure that acts as the kernel of a possibly nonlocal time delay term and the functional includes a non-differentiable term with the measure-norm of…
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as…
We consider a continuous-time linear-quadratic Gaussian control problem with partial observations and costly information acquisition. More precisely, we assume the drift of the state process to be governed by an unobservable…
This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this…
Non-Gaussian statistics are a challenge for data assimilation. Linear methods oversimplify the problem, yet fully nonlinear methods are often too expensive to use in practice. The best solution usually lies between these extremes.…
A flexible representation of uncertainty that remains within the standard framework of probabilistic measure theory is presented along with a study of its properties. This representation relies on a specific type of outer measure that is…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
We explore the fundamental limits of heterogeneous distributed detection in an anonymous sensor network with n sensors and a single fusion center. The fusion center collects the single observation from each of the n sensors to detect a…
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
A ubiquitous learning problem in today's digital market is, during repeated interactions between a seller and a buyer, how a seller can gradually learn optimal pricing decisions based on the buyer's past purchase responses. A fundamental…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…
We consider the problem of constructing optimal designs for population pharmacokinetics which use random effect models. It is common practice in the design of experiments in such studies to assume uncorrelated errors for each subject. In…