Related papers: Small Price Changes, Sales Volume, and Menu Cost
We consider a context-based dynamic pricing problem of online products, which have low sales. Sales data from Alibaba, a major global online retailer, illustrate the prevalence of low-sale products. For these products, existing…
Do price regulations lead to inefficiencies and trade loss? The answer depends on the type of regulation, monetary and non-monetary factors influencing demand, technological factors affecting supply elasticities, difference between…
In this paper, we conduct a systematic large-scale analysis of order book-driven predictability in high-frequency returns by leveraging deep learning techniques. First, we introduce a new and robust representation of the order book, the…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
The emergence of breakthrough artificial intelligence (AI) techniques has led to a renewed focus on how small data settings, i.e., settings with limited information, can benefit from such developments. This includes societal issues such as…
The process of consumer decision-making is multidimensional, and price perception is a very important but still not well-understood dimension for both marketers and consumers. Although heuristics or mental shortcuts are seen as biased and…
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general…
We review the "production approach" to estimating markups, the ratio of price to marginal cost. The approach is uniquely scalable: it requires no model of consumer demand or market structure and applies broadly across firms, industries, and…
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…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
Most major retailers today have multiple divisions focused on various aspects, such as marketing, supply chain, online customer experience, store customer experience, employee productivity, and vendor fulfillment. They also regularly…
Errors or failures in a high-volume manufacturing environment can have significant impact that can result in both the loss of time and money. Identifying such failures early has been a top priority for manufacturing industries and various…
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
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…
Product personalization opens the door to price discrimination. A rich product line allows firms to better tailor products to consumers' tastes, but the mere choice of a product carries valuable information about consumers that can be…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…