Related papers: Retail Pricing Format and Rigidity of Regular Pric…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
After years of speculation, price discrimination in e-commerce driven by the personal information that users leave (involuntarily) online, has started attracting the attention of privacy researchers, regulators, and the press. In our…
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…
Personalized pricing is a business strategy to charge different prices to individual consumers based on their characteristics and behaviors. It has become common practice in many industries nowadays due to the availability of a growing…
We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The…
Many online marketplaces personalize prices based on consumer attributes. Since these prices are private, consumers may be unaware that they have spent more on a good than the lowest possible price, and cannot easily take action to pay…
We explore heterogeneous prices as a source of heterogeneous or stochastic demand. Heterogeneous prices could arise either because there is actual price variation among consumers or because consumers (mis)perceive prices differently. Our…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the…
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…
Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the auction price at the time of auction clearing and has a large…
Background: Transitions towards healthier, more environmentally sustainable diets would require large shifts in consumption patterns. Cost and affordability can be barriers to consuming healthy, sustainable diets. Objective: This study…
This paper studies the widespread price dispersion of homogeneous products across different online platforms, even when consumers can easily access price information from comparison websites. We collect data for the 200 most popular hotels…
The paper explores a consumer search setting where the sellers have asymmetries. The model is an extension of the popular Stahl Model, which is widely used in the literature. The extension introduces sellers with heterogeneous stores…
We compare the profit of the optimal third-degree price discrimination policy against a uniform pricing policy. A uniform pricing policy offers the same price to all segments of the market. Our main result establishes that for a broad class…
Platforms design the form of presentation by which sellers are shown to the buyers. This design not only shapes the buyers' experience but also leads to different market equilibria or dynamics. One component in this design is through the…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
Repeated multi-unit auctions, where a seller allocates multiple identical items over many rounds, are common mechanisms in electricity markets and treasury auctions. We compare the two predominant formats: uniform-price and discriminatory…