Related papers: Merger Analysis with Unobserved Prices
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
Finite mixture models are useful in applied econometrics. They can be used to model unobserved heterogeneity, which plays major roles in labor economics, industrial organization and other fields. Mixtures are also convenient in dealing with…
Merging datasets is a key operation for data analytics. A frequent requirement for merging is joining across columns that have different surface forms for the same entity (e.g., the name of a person might be represented as "Douglas Adams"…
Many differentiated products have key attributes that are unstructured and thus high-dimensional (e.g., design, text). Instead of treating unstructured attributes as unobservables in economic models, quantifying them can be important to…
In the rapidly evolving landscape of eCommerce, Artificial Intelligence (AI) based pricing algorithms, particularly those utilizing Reinforcement Learning (RL), are becoming increasingly prevalent. This rise has led to an inextricable…
This thesis investigates the dynamics of multimarket contact and airline mergers on collusive pricing of airlines. In align with Bernheim and Whinston (1990) and Athey et.al.(2004), it detects collusive pricing via pairwise price difference…
In data fusion analysts seek to combine information from two databases comprised of disjoint sets of individuals, in which some variables appear in both databases and other variables appear in only one database. Most data fusion techniques…
Firms typically cannot observe key consumer actions: whether customers buy from a competitor, choose not to buy, or even fully consider the firm's offer. This missing outside-option information makes market-size and preference estimation…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…
This paper develops a practical framework for using observational data to audit the consumer surplus effects of AI-driven decisions, specifically in targeted pricing and algorithmic lending. Traditional approaches first estimate demand…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
We study mixed bundling and competitive price-matching guarantees (PMGs) in a duopoly selling complementary products to heterogeneous customers. One retailer offers mixed bundling while the rival sells only a bundle. We characterize unique…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
Mergers and Acquisitions represent important forms of business deals, both because of the volumes involved in the transactions and because of the role of the innovation activity of companies. Nevertheless, Economic Complexity methods have…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
What is the performance cost of using simple, decoupled control policies in inherently coupled systems? Motivated by industrial refrigeration systems, where centralized compressors exhibit economies of scale yet traditional control employs…
Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…