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The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
Recommender systems are known to exhibit fairness issues, particularly on the product side, where products and their associated suppliers receive unequal exposure in recommended results. While this problem has been widely studied in…
The primary concerns of this paper are twofold: to understand the economic value of storage in the presence of ramp constraints and exogenous electricity prices, and to understand the implications of the associated optimal storage…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
Most eCommerce applications, like web-shops have millions of products. In this context, the identification of similar products is a common sub-task, which can be utilized in the implementation of recommendation systems, product search…
Personalized pricing assigns different prices to customers for the same product based on customer-specific features to improve retailer revenue. However, this practice often raises concerns about fairness at both the individual and group…
In this paper, we demonstrate that a consumer's marginal system impact is only determined by their demand profile rather than their demand level. Demand profile clustering is identical to cluster consumers according to their marginal…
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order…
This paper examines the relationship between changes in telecommunications provider concentration on international long distance routes and changes in prices on those routes. Overall, decreased concentration is associated with significantly…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
We consider a firm that sells a large number of products to its customers in an online fashion. Each product is described by a high dimensional feature vector, and the market value of a product is assumed to be linear in the values of its…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
Firms' algorithm development practices are often homogeneous. Whether firms train algorithms on similar data, aim at similar benchmarks, or rely on similar pre-trained models, the result is correlated predictions. We model the impact of…
Consider the following toy problem. There are $m$ rectangles and $n$ points on the plane. Each rectangle $R$ is a consumer with budget $B_R$, who is interested in purchasing the cheapest item (point) inside R, given that she has enough…
In lending, where prices are specific to both customers and products, having a well-functioning personalized pricing policy in place is essential to effective business making. Typically, such a policy must be derived from observational…
We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the…
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can…
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…