Related papers: Present Value of the Future Consumer Goods Multipl…
Two popular forms of automated market makers are constant sum and constant product (CSMM and CPMM respectively). Each has its advantages and disadvantages: CSMMs have stable exchange rates but are vulnerable to arbitrage and can sometimes…
We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…
This paper studies identification and estimation of a dynamic discrete choice model of demand for differentiated product using consumer-level panel data with few purchase events per consumer (i.e., short panel). Consumers are…
We consider a revenue-maximizing seller with $m$ heterogeneous items and a single buyer whose valuation $v$ for the items may exhibit both substitutes (i.e., for some $S, T$, $v(S \cup T) < v(S) + v(T)$) and complements (i.e., for some $S,…
We study the problem of a budget limited buyer who wants to buy a set of items, each from a different seller, to maximize her value. The budget feasible mechanism design problem aims to design a mechanism which incentivizes the sellers to…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…
The increasing uptake of residential PV-battery systems is bound to significantly change demand patterns of future power systems and, consequently, their dynamic performance. In this paper, we propose a generic demand model that captures…
In this paper, we introduce a model that adds a non-linearity to discounting: the discounting factor may depend on the notional (i.e., discounted values are no longer linear in the notional). In the first part of the paper, we provide a…
In the paper, a problem of forecasting promotion efficiency is raised. The authors propose a new approach, using the gradient boosting method for this task. Six performance indicators are introduced to capture the promotion effect. For each…
We present new Bayesian methodology for consumer sales forecasting. With a focus on multi-step ahead forecasting of daily sales of many supermarket items, we adapt dynamic count mixture models to forecast individual customer transactions,…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
Walrasian prices, if they exist, have the property that one can assign every buyer some bundle in her demand set, such that the resulting assignment will maximize social welfare. Unfortunately, this assumes carefully breaking ties amongst…
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…
This paper studies the static economic optimization problem of a system with a single aggregator and multiple prosumers in a Real-Time Balancing Market (RTBM). The aggregator, as the agent responsible for portfolio balancing, needs to…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
We study a model of retail agglomeration where consumers are more likely to visit zones with a higher concentration of shops. This agglomerative effect makes zones with many retailers more attractive. The spatial distribution of retailers…