Related papers: Small Price Changes, Sales Volume, and Menu Cost
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
Fashion discounters face the problem of ordering the right amount of pieces in each size of a product. The product is ordered in pre-packs containing a certain size-mix of a product. For this so-called lot-type design problem, a stochastic…
Low scale inflation has many virtues and it has been claimed that its natural realisation in supersymmetric standard model can be achieved rather easily. In this letter we have demonstrated that also in this case the dynamics of the hidden…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
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,…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
Market share and quality, or customer satisfaction, go together. Yet inferring one from the other appears difficult. Indeed, such an inference would need detailed information about customer behavior, and might be clouded by modes of…
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread,…
This note explores the consequences of nonlinear price impact functions on price dynamics within the chartist-fundamentalist framework. Price impact functions may be nonlinear with respect to trading volume. As indicated by recent empirical…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
Sales data in a commodity market (supermarket sales to consumers) has been analysed by studying the fluctuation spectrum and noise correlations. Three related products (ketchup, mayonnaise and curry sauce) have been analysed. Most noise in…
A common challenge for e-commerce sellers is to decide what product images to display on online shopping sites. In this paper, we propose and validate a novel metric, k-value, to quantify the information richness of an image set, and we…
One of the important factors of profitability is the volume of transactions. An accurate prediction of the future transaction volume becomes a pivotal factor in shaping corporate operations and decision-making processes. E-commerce has…
Consumer spending accounts for a large fraction of the US economic activity. Increasingly, consumer activity is moving to the web, where digital traces of shopping and purchases provide valuable data about consumer behavior. We analyze…
Personalized pricing, which involves tailoring prices based on individual characteristics, is commonly used by firms to implement a consumer-specific pricing policy. In this process, buyers can also strategically manipulate their feature…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
Rankings play a crucial role in decision-making. However, if minor changes to items significantly alter their rankings, the quality of the decisions being made can be compromised. The stability of ranking is a measure used to assess how…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…