Related papers: Retail Pricing Format and Rigidity of Regular Pric…

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…

Price perception by consumers represents a challenge to the ability of a business to correctly and profitably price and sell their products or services in a given market and any new target market. Complicating the perception of prices is…

This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…

While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…

This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…

This study explores the prediction of high-frequency price changes using deep learning models. Although state-of-the-art methods perform well, their complexity impedes the understanding of successful predictions. We found that an…

We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…

An important goal of online comparison shopping services is to "convert" a viewer from general product category pages (for example product groups such as "smartphones" or "air-conditioners") to detailed product pages and ultimately to order…

We observe nominal price rigidity in tobacco markets across China. The monopolistic seller responds by adjusting product assortments, which remain unobserved by the analyst. We develop and estimate a logit demand model that incorporates…

We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to…

Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that…

The classic third degree price discrimination (3PD) model requires the knowledge of the distribution of buyer valuations and the covariate to set the price conditioned on the covariate. In terms of generating revenue, the classic result…

Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…

Grocery retailers frequently apply price discounts to stimulate demand for expiring perishables. However, integrating these discounted sales into future demand forecasts presents a significant challenge. This study investigates the…

This paper provides a systematic comparison between Fitted Dynamic Programming (DP), where demand is estimated from data, and Reinforcement Learning (RL) methods in finite-horizon dynamic pricing problems. We analyze their performance…

We consider the problem of multi-product dynamic pricing, in a contextual setting, for a seller of differentiated products. In this environment, the customers arrive over time and products are described by high-dimensional feature vectors.…

We assess the role of cognitive convenience in the popularity and rigidity of 0 ending prices in convenience settings. Studies show that 0 ending prices are common at convenience stores because of the transaction convenience that 0 ending…

The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…

In this work, we address a lack of systematic understanding of fluctuations in food affordability in Canada. Canada's Food Price Report (CPFR) is an annual publication that predicts food inflation over the next calendar year. The published…