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Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
As a fundraising method, Initial Coin Offering (ICO) has raised billions of dollars for thousands of startups in the past two years. Existing ICO mechanisms place more emphasis on the short-term benefits of maximal fundraising while…
We study a demand response problem from utility (also referred to as operator)'s perspective with realistic settings, in which the utility faces uncertainty and limited communication. Specifically, the utility does not know the cost…
The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…
We consider a scenario where a retailer can set different prices for different consumers in a smart grid. The retailer's objective is to maximize the revenue, minimize the operating cost, and maximize the consumer's welfare. The retailer…
We study a general online combinatorial auction problem in algorithmic mechanism design. A provider allocates multiple types of capacity-limited resources to customers that arrive in a sequential and arbitrary manner. Each customer has a…
With a novel search algorithm or assortment planning or assortment optimization algorithm that takes into account a Bayesian approach to information updating and two-stage assortment optimization techniques, the current research provides a…
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields. We consider the example of a hypothetical illiquid fixed income market. After choosing a…
Demand response (DR) has been demonstrated to be an effective method for reducing peak load and mitigating uncertainties on both the supply and demand sides of the electricity market. One critical question for DR research is how to…
Dynamic pricing models often posit that a $\textbf{stream}$ of customer interactions occur sequentially, where customers' valuations are drawn independently. However, this model is not entirely reflective of the real world, as it overlooks…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
Retailers have significant potential to improve recommendations through strategic bundling and pricing. By taking into account different types of customers and their purchasing decisions, retailers can better accommodate customer…
The paper develops a decentralized resource allocation mechanism for allocating divisible goods with capacity constraints to non-price-taking agents with general concave utilities. The proposed mechanism is always budget balanced,…
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers…
The autonomous systems need to decide how to react to the changes at runtime efficiently. The ability to rigorously analyze the environment and the system together is theoretically possible by the model-driven approaches; however, the model…
Discounted algorithms often encounter evaluation errors due to their reliance on short-term estimations, which can impede their efficacy in addressing simple, short-term tasks and impose undesired temporal discounts (\(\gamma\)).…
Within decentralized organizations, the local demand for recommender systems to support business processes grows. The diversity in data sources and infrastructure challenges central engineering teams. Achieving a high delivery velocity…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…