Related papers: Large Deviations Theory of Increasing Returns
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
Previous research on two-dimensional extensions of Hotelling's location game has argued that spatial competition leads to maximum differentiation in one dimensions and minimum differentiation in the other dimension. We expand on existing…
The enhanced competition paradigm is an attempt at bridging the gap between simple and optimal auctions. In this line of work, given an auction setting with $m$ items and $n$ bidders, the goal is to find the smallest $n' \geq n$ such that…
Estimating consumer preferences is central to many problems in economics and marketing. This paper develops a flexible framework for learning individual preferences from partial ranking information by interpreting observed rankings as…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
In this paper, we introduce a parametrized family of prices derived from the Maximum Entropy Principle. The price is obtained from the distribution that minimizes bias, given the bid and ask volume imbalance at the top of the order book.…
We prove existence of the large deviation principle, with a proper convex rate function, for the distribution of the renormalized distance from the origin of a random walk on a free product of finitely generated groups. As a consequence, we…
Influence maximization is the problem of finding a set of influential users in a social network such that the expected spread of influence under a certain propagation model is maximized. Much of the previous work has neglected the important…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
We study gains from trade in multi-dimensional two-sided markets. Specifically, we focus on a setting with $n$ heterogeneous items, where each item is owned by a different seller $i$, and there is a constrained-additive buyer with…
We study how delegating pricing to large language models (LLMs) can facilitate collusion in a duopoly when both sellers rely on the same pre-trained model. The LLM is characterized by (i) a propensity parameter capturing its internal bias…
An analytic model is presented that considers the evolution of a market of durable goods. The model suggests that after introduction goods spread always according to a Bass diffusion. However, this phase will be followed by a diffusion…
Assortment optimization is an important problem that arises in many industries such as retailing and online advertising where the goal is to find a subset of products from a universe of substitutable products which maximize seller's…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We consider a dynamic mechanism design problem where an auctioneer sells an indivisible good to groups of buyers in every round, for a total of $T$ rounds. The auctioneer aims to maximize their discounted overall revenue while adhering to a…
Empirical data of supermarket sales show stylised facts that are similar to stock markets, with a broad (truncated) Levy distribution of weekly sales differences in the baseline sales [R.D. Groot, Physica A 353 (2005) 501]. To investigate…
Market share and quality, or customer satisfaction, go together. Yet inferring one from the other appears difficult. Indeed, such an inference would need detailed information about customer behavior, and might be clouded by modes of…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
We provide a theoretical framework to understand when firms may benefit from exploiting previously abandoned technologies and brands. We model for the long run process of innovation, allowing for sustainable diversity and comebacks of old…
Auction theory traditionally assumes that bidders' valuation distributions are known to the auctioneer, such as in the celebrated, revenue-optimal Myerson auction. However, this theory does not describe how the auctioneer comes to possess…