Related papers: Optionality and Convexity in ICT Networks
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
In social network markets, the act of consumer choice in these industries is governed not just by the set of incentives described by conventional consumer demand theory, but by the choices of others in which an individual's payoff is an…
Many interesting problems in the Internet industry can be framed as a two-sided marketplace problem. Examples include search applications and recommender systems showing people, jobs, movies, products, restaurants, etc. Incorporating…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…
Payment channel networks, such as Bitcoin's Lightning Network, promise to improve the scalability of blockchain systems by processing the majority of transactions off-chain. Due to the design, the positioning of nodes in the network…
Decision-making pipelines are generally characterized by tradeoffs among various risk functions. It is often desirable to manage such tradeoffs in a data-adaptive manner. As we demonstrate, if this is done naively, state-of-the art…
Spurred by the enthusiasm surrounding the "Big Data" paradigm, the mathematical and algorithmic tools of online optimization have found widespread use in problems where the trade-off between data exploration and exploitation plays a…
Autonomous microgrid planning is a Mixed-Integer Non Convex decision problem that requires to consider investments in both distribution and generation capacity and represents significant computation challenges. We proposed in a previous…
Network-based complex systems are inherently interconnected, with the design and performance of subnetworks being interdependent. However, the decisions of self-interested operators may lead to suboptimal outcomes for users. In this paper,…
Many networks are used to transfer information or goods, in other words, they are navigated. The larger the network, the more difficult it is to navigate efficiently. Indeed, information routing in the Internet faces serious scalability…
The communications systems, terminals, software and deployment service, industries, have undergone the past ten years a significant technological internal evolution and external revolution at customer end (such as Internet, Mobile networks…
Most products are produced and sold by supply chain networks, where an interconnected network of producers and intermediaries set prices to maximize their profits. I show that there exists a unique equilibrium in a price-setting game on a…
When traffic is routed through a network that is susceptible to congestion, the self-interested decisions made by individual users do not, in general, produce the optimal flow. This discrepancy is quantified by the so-called "price of…
In many sequential decision making applications, the change of decision would bring an additional cost, such as the wear-and-tear cost associated with changing server status. To control the switching cost, we introduce the problem of online…
We study a multi-objective model on the allocation of reusable resources under model uncertainty. Heterogeneous customers arrive sequentially according to a latent stochastic process, request for certain amounts of resources, and occupy…
We design profit-maximizing mechanisms to sell an excludable and non-rival good with positive and/or negative network effects. Buyers have heterogeneous private values that depend on how many others also consume the good. In optimum, an…
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a…
We consider networks of banks with assets and liabilities. Some banks may be insolvent, and a central bank can decide which insolvent banks, if any, to bail out. We view bailouts as an optimization problem where the central bank has given…
This paper studies a decentralized many-to-one matching market where preferences remain uncertain during the matching process. Institutions initiate matching by sending offers, and applicants decide whether to accept upon receiving them.…