Related papers: Large Deviations Theory of Increasing Returns
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…
Let $A$ be a transition probability kernel on a finite state space $\Delta^o =\{1, \ldots , d\}$ such that $A(x,y)>0$ for all $x,y \in \Delta^o$. Consider a reinforced chain given as a sequence $\{X_n, \; n \in \mathbb{N}_0\}$ of…
We study two-layer belief networks of binary random variables in which the conditional probabilities Pr[childlparents] depend monotonically on weighted sums of the parents. In large networks where exact probabilistic inference is…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…
We study the classic bilateral trade setting. Myerson and Satterthwaite show that there is no Bayesian incentive compatible and budget-balanced mechanism that obtains the gains from trade of the first-best mechanism. Consider the…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying…
When a new product or technology is introduced, potential consumers can learn its quality by trying the product, at a risk, or by letting others try it and free-riding on the information that they generate. We propose a dynamic game to…
I study the optimal allocation of positional goods in the presence of externalities arising from consumers' concerns about relative consumption. Applications include luxury goods, priority services, education, and organizational…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
A central question in economics is whether automation will displace human labor and diminish standards of living. Whilst prior works typically frame this question as a competition between human labor and machines, we frame it as a…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
Population diversity is an important aspect of Prisoner's Dilemma Game (PDG) research. However, the studies on dynamic diversity and its associated cost still need further investigation. Based on a framework comprising 2-dimensional spatial…
A fundamental assumption in classical mechanism design is that buyers are perfect optimizers. However, in practice, buyers may be limited by their computational capabilities or a lack of information, and may not be able to perfectly…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
Opportunistic detection rules (ODRs) are variants of fixed-sample-size detection rules in which the statistician is allowed to make an early decision on the alternative hypothesis opportunistically based on the sequentially observed…
We study common properties of retail pricing models within a general framework of calculus of variations. In particular, we observe that for any demand model, optimal de-seasoned revenue rate divided by price elasticity is time invariant.…