Related papers: Small Price Changes, Sales Volume, and Menu Cost
Numeral systems and units of measurement are two conjoined topics in activities of human beings and have mutual effects with the languages expressing them. Currently, the evaluation of Large Language Models (LLMs) often involves…
Central to privacy concerns is that firms may use consumer data to price discriminate. A common policy response is that consumers should be given control over which firms access their data and how. Since firms learn about a consumer's…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the…
This paper analyzes stability conditions for wholesale electricity markets under real-time retail pricing and realistic consumption models with memory, which explicitly take into account previous electricity prices and consumption levels.…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
We consider a feature-based personalized pricing problem in which the buyer is strategic: given the seller's pricing policy, the buyer can augment the features that they reveal to the seller to obtain a low price for the product. We model…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
Given a subset of real numbers $A$ with small product $AA$ we obtain a new upper bound for the additive energy of $A$. The proof uses a natural observation that level sets of convolutions of the characteristic function of $A$ have small…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
We consider hundreds of thousands of individual economic transactions to ask: how predictable are consumers in their merchant visitation patterns? Our results suggest that, in the long-run, much of our seemingly elective activity is…
Digital technology organizations routinely use online experiments (e.g. A/B tests) to guide their product and business decisions. In e-commerce, we often measure changes to transaction- or item-based business metrics such as Average Basket…
As Internet-based commerce becomes increasingly widespread, large data sets about the demand for and pricing of a wide variety of products become available. These present exciting new opportunities for empirical economic and business…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…
The information released to investors in financial markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of a risky asset may reach in the future. This study develops…
In many markets buyers are poorly informed about which firms sell the product (product availability) and prices, and therefore have to spend time to obtain this information. In contrast, sellers typically have a better idea about which…