Related papers: Empirical Framework for Cournot Oligopoly with Pri…
The literature on differential privacy almost invariably assumes that the data to be analyzed are fully observed. In most practical applications this is an unrealistic assumption. A popular strategy to address this problem is imputation, in…
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
We propose a Bayesian elastic net that uses empirical likelihood and develop an efficient tuning of Hamiltonian Monte Carlo for posterior sampling. The proposed model relaxes the assumptions on the identity of the error distribution,…
Classic results show that even an arbitrarily small correlation across bidders' information can enable full surplus extraction in auctions and related mechanism design settings. Motivated by this fragility, we study the information…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
Due to increased awareness of data protection and corresponding laws many data, especially involving sensitive personal information, are not publicly accessible. Accordingly, many data collecting agencies only release aggregated data, e.g.…
We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as…
Presented is an analytic microeconomic model of the temporal price dispersion of homogeneous goods in polypoly markets. This new approach is based on the idea that the price dispersion has its origin in the dynamics of the purchase process.…
Understanding firm conduct is crucial for industrial organization and antitrust policy. In this article, we develop a testing procedure based on the Rivers and Vuong non-nested model selection framework. Unlike existing methods that require…
In this paper we study the implementation challenge in an abstract interdependent values model and an arbitrary objective function. We design a mechanism that allows for approximate optimal implementation of insensitive objective functions…
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.…
Confidential data, such as electronic health records, activity data from wearable devices, and geolocation data, are becoming increasingly prevalent. Differential privacy provides a framework to conduct statistical analyses while mitigating…
We study whether simple algorithmic pricing systems can systematically produce collusive-like prices in multi-firm markets. We consider firms using an explore-then-exploit pipeline: they randomize prices during an initial exploration phase,…
In revenue maximization of selling a digital product in a social network, the utility of an agent is often considered to have two parts: a private valuation, and linearly additive influences from other agents. We study the incomplete…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
In this paper I investigate a Bayesian inverse problem in the specific setting of a price setting monopolist facing a randomly growing demand in multiple possibly interconnected markets. Investigating the Value of Information of a signal to…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
We consider the problem of how to regulate an oligopoly when firms have private information about their costs. In the environment, consumers make discrete choices over goods, and minimal structure is placed on the manner in which firms…