Related papers: Retail Pricing Format and Rigidity of Regular Pric…
We consider a novel pricing and advertising framework, where a seller not only sets product price but also designs flexible 'advertising schemes' to influence customers' valuation of the product. We impose no structural restriction on the…
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
We study the price rounding regulation in Israel, which outlawed non-0-ending prices, forcing retailers to round 9 ending prices, which in many stores, comprised more than 60 percent of all prices. The goal of the regulation was to…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques suffer from the "curse of dimensionality" and are applied…
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…
We examine the case of items with a limited shelf-life where storing an item (before consumption) may carry a cost to a buyer (or distributor). For example, eggs, milk, or Groupon coupons have a fixed expiry date, and seasonal goods can…
We study the problem when a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a…
Predictive models are finding an increasing number of applications in many industries. As a result, a practical means for trading-off the cost of deploying a model versus its effectiveness is needed. Our work is motivated by risk prediction…
This paper explains four things in a unified way. First, how e-commerce can generate price equilibria where physical shops either compete with virtual shops for consumers with Internet access, or alternatively, sell only to consumers with…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
Real-world pricing mechanisms are typically optimized using training data, a setting corresponding to the \textit{pricing query complexity} problem in Mechanism Design. The previous work [LSTW23] studies the \textit{single-distribution}…