Related papers: A Novel Multi-Period and Multilateral Price Index
Macroeconomic indexes are of high importance for banks: many risk-control decisions utilize these indexes. A typical workflow of these indexes evaluation is costly and protracted, with a lag between the actual date and available index being…
The article presents a study on the biobjective inventory routing problem. Contrary to most previous research, the problem is treated as a true multi-objective optimization problem, with the goal of identifying Pareto-optimal solutions. Due…
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the…
In several observational contexts where different raters evaluate a set of items, it is common to assume that all raters draw their scores from the same underlying distribution. However, a plenty of scientific works have evidenced the…
An important goal of environmental health research is to assess the risk posed by mixtures of environmental exposures. Two popular classes of models for mixtures analyses are response-surface methods and exposure-index methods.…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
Studying competition and market structure at the product level instead of brand level can provide firms with insights on cannibalization and product line optimization. However, it is computationally challenging to analyze product-level…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
With the rapid development of Internet of Things (IoT) and artificial intelligence technologies, data has become an important strategic resource in the new era. However, the growing demand for data has exacerbated the issue of \textit{data…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
The complementarity and substitutability between products are essential concepts in retail and marketing. Qualitatively, two products are said to be substitutable if a customer can replace one product by the other, while they are…
Heterogeneous but complementary sources of data provide an unprecedented opportunity for developing accurate statistical models of systems. Although the existing methods have shown promising results, they are mostly applicable to situations…
Agricultural price prediction is crucial for farmers, policymakers, and other stakeholders in the agricultural sector. However, it is a challenging task due to the complex and dynamic nature of agricultural markets. Machine learning…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
The efficient market hypothesis considers all available information already reflected in asset prices and limits the possibility of consistently achieving above-average returns by trading on publicly available data. We analyzed low…
Ongoing and future surveys with repeat imaging in multiple bands are producing (or will produce) time-spaced measurements of brightness, resulting in the identification of large numbers of variable sources in the sky. A large fraction of…
We present new Bayesian methodology for consumer sales forecasting. With a focus on multi-step ahead forecasting of daily sales of many supermarket items, we adapt dynamic count mixture models to forecast individual customer transactions,…
This paper proposes a novel method for demand forecasting in a pricing context. Here, modeling the causal relationship between price as an input variable to demand is crucial because retailers aim to set prices in a (profit) optimal manner…
It has previously been shown that ordinary least squares can be used to estimate the coefficients of the single-index model under only mild conditions. However, the estimator is non-robust leading to poor estimates for some models. In this…