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We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model by allowing for nonlinear illiquidity effects. We show that…
This note pursues two primary objectives. First, we analyze the outcomes of an all-pay auction within a store where buyers with and without financial constraints arrive at varying rates, and where buyer types are private information.…
This paper introduces a formal method to model the level of demand on control when executing cognitive processes. The cost of cognitive control is parsed into an intensity cost which encapsulates how much additional input information is…
We present the results of a study designed to measure the impact of interruptive advertising on consumers willingness to pay for products bearing the advertiser's brand. Subjects participating in a controlled experiment were exposed to ads…
Recommendation systems are highly interested in technology companies nowadays. The businesses are constantly growing users and products, causing the number of users and items to continuously increase over time, to very large numbers.…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
In recent years, much research effort on recommendation has been devoted to mining user behaviors, i.e., collaborative filtering, along with the general information which describes users or items, e.g., textual attributes, categorical…
The digital economy implements complex incentive systems to retain users through point redemption. Understanding user behavior in such complex incentive structures presents a fundamental challenge, especially in estimating the value of…
A multiproduct seller is more informed than consumers about the value of her products to consumers. The seller posts a price list and segments the market through cheap-talk communication. We find that when both seller's and consumers'…
Perhaps, it is not too far from the truth to say that, among the great concepts (as compactness, completeness, order, convexity) on which functional analysis is based, connectedness is relatively less popular, though this does not mean that…
The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…
This research studies the relation between money and prices and its practical implications analyzing quarterly data from United States (1959-2022), Canada (1961-2022), United Kingdom (1986-2022), and Brazil (1996-2022). The historical,…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…