Related papers: Small Price Changes, Sales Volume, and Menu Cost
There is generally a need to deal with quality change and new goods in the consumer price index due to the underlying dynamic item universe. Traditionally axiomatic tests are defined for a fixed universe. We propose five tests explicitly…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
The complementarity and substitutability between products are essential concepts in retail and marketing. Qualitatively, two products are said to be substitutable if a customer can replace one product by the other, while they are…
The observed proportionality between nominal prices and average embodied energies cannot be interpreted with conventional economic theory. A model is presented that places energy transfers as the focal point of scarcity based on the idea…
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are characterized by stylized facts: The number of inserted limit…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
One of the increasingly important technologies dealing with the growing complexity of the digitalization of almost all human activities is Artificial intelligence, more precisely machine learning Despite the fact, that we live in a Big data…
This paper contributes to the literature on parametric demand estimation by using deep learning to model consumer preferences. Traditional econometric methods often struggle with limited within-product price variation, a challenge addressed…
Groupon has become the latest Internet sensation, providing daily deals to customers in the form of discount offers for restaurants, ticketed events, appliances, services, and other items. We undertake a study of the economics of daily…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
Presented is an analytic microeconomic model of the temporal price dispersion of homogeneous goods in polypoly markets. This new approach is based on the idea that the price dispersion has its origin in the dynamics of the purchase process.…
Low search costs in Internet markets can be used by consumers to find low prices, but can also be used by retailers to monitor competitors' prices. This price monitoring can lead to price matching, resulting in dampened price competition…
A major challenge in sparsity pattern estimation is that small modes are difficult to detect in the presence of noise. This problem is alleviated if one can observe samples from multiple realizations of the nonzero values for the same…
The fundamental equations of various disciplines often seem to share the same basic structure. Natural selection increases information in the same way that Bayesian updating increases information. Thermodynamics and the forms of common…
Data preprocessing is a crucial stage in the data analysis pipeline, with both technical and social aspects to consider. Yet, the attention it receives is often lacking in research practice and dissemination. We present the Smallset…
In many shopping scenarios, e.g., in online shopping, customers have a large menu of options to choose from. However, most of the buyers do not browse all the options and make decision after considering only a small part of the menu. To…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
The great majority of engineered products are subject to thermo-mechanical loads which vary with the product environment during the various phases of its life-cycle (machining, assembly, intended service use...). Those load variations may…