Related papers: Small Price Changes, Sales Volume, and Menu Cost
There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while…
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy…
We modify the standard model of price competition with horizontally differentiated products, imperfect information, and search frictions by allowing consumers to flexibly acquire information about a product's match value during their…
In this paper, we demonstrate that a consumer's marginal system impact is only determined by their demand profile rather than their demand level. Demand profile clustering is identical to cluster consumers according to their marginal…
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 dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Consider a monopolist selling $n$ items to an additive buyer whose item values are drawn from independent distributions $F_1,F_2,\ldots,F_n$ possibly having unbounded support. Unlike in the single-item case, it is well known that the…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
It is known that the scan statistic with variable window size favors the detection of signals with small spatial extent and there is a corresponding loss of power for signals with large spatial extent. Recent results have shown that this…
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time…
Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…
Multi-item mechanisms can be very complex offering many different bundles to the buyer that could even be randomized. Such complexity is thought to be necessary as the revenue gaps between randomized and deterministic mechanisms, or…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…
In online marketplaces, customers have access to hundreds of reviews for a single product. Buyers often use reviews from other customers that share their type -- such as height for clothing, skin type for skincare products, and location for…
When online sellers use AI learning algorithms to automatically compete on e-commerce platforms, there is concern that they will learn to coordinate on higher than competitive prices. However, this concern was primarily raised in…
Consider the following toy problem. There are $m$ rectangles and $n$ points on the plane. Each rectangle $R$ is a consumer with budget $B_R$, who is interested in purchasing the cheapest item (point) inside R, given that she has enough…
The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…
Much of economic theory is built on observations of aggregate, rather than individual, behavior. Here, we present novel findings on human shopping patterns at the resolution of a single purchase. Our results suggest that much of our…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…