Related papers: Large Deviations Theory of Increasing Returns
We establish two different, but related results for random walks in the domain of attraction of a stable law of index $\alpha$. The first result is a local large deviation upper bound, valid for $\alpha \in (0,1) \cup (1,2)$, which improves…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
In two-strategy decision-making problems, individuals often imitate the highest earners or choose either the common or rare strategy. Individuals who benefit from the common strategy are conformists, whereas those who profit by choosing the…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
The laws of Physics are time-reversible, making no qualitative distinction between the past and the future -- yet we can only go towards the future. This apparent contradiction is known as the "arrow of time problem". Its current resolution…
The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
We present empirical evidence on the relationship between demand shocks and price changes, conditional on returns to scale. We find that in industries with decreasing returns to scale, demand increases (which raise costs) correspond to…
Lyapunov exponents describe the asymptotic behavior of the singular values of large products of random matrices. A direct computation of these exponents is however often infeasible. By establishing a link between Lyapunov exponents and an…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…
The theory of large deviations is concerned with the exponential decay of probabilities of large fluctuations in random systems. These probabilities are important in many fields of study, including statistics, finance, and engineering, as…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
Whenever customers' choices (e.g. to buy or not a given good) depend on others choices (cases coined 'positive externalities' or 'bandwagon effect' in the economic literature), the demand may be multiply valued: for a same posted price,…
Users can now give back energies to the grid using distributed resources. Proper incentive mechanisms are required for such users, also known as prosumers, in order to maximize the sell-back amount while maintaining the retailer's profit.…
Recommendations based on behavioral data may be faced with ambiguous statistical evidence. We consider the case of association rules, relevant e.g.~for query and product recommendations. For example: Suppose that a customer belongs to…