Related papers: Merger Analysis with Unobserved Prices
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
We study the problem when a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a…
Training large neural networks and merging task-specific models both exploit low-rank structure and require parameter importance estimation, yet these challenges have been pursued in isolation. Current workflows compute curvature…
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real…
We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with Sibuya waiting times to include a time-dependent stochastic…
The rise of algorithmic pricing in online retail platforms has attracted significant interest in how autonomous software agents interact under competition. This article explores the potential emergence of algorithmic collusion -…
Highway merges present difficulties for human drivers and automated vehicles due to incomplete situational awareness and a need for a structured (precedence, order) environment, respectively. In this paper, an unstructured merge algorithm…
This paper studies the joint estimation problem of a discrete choice model and the arrival rate of potential customers when unobserved stock-out events occur. In this paper, we generalize [Anupindi et al., 1998] and [Conlon and Mortimer,…
A growing number of applications involve settings where, in order to infer heterogeneous effects, a researcher compares various units. Examples of research designs include children moving between different neighborhoods, workers moving…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
We propose a new method for studying environments with unobserved individual heterogeneity. Based on model-implied pairwise inequalities, the method classifies individuals in the sample into groups defined by discrete unobserved…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
We consider a package assignment problem with multiple units of indivisible items. The seller can specify preferences over partitions of their supply between buyers as packaging costs. We propose incremental costs together with a graph that…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
We study long-run market stability for repeated price competitions between two firms, where consumer demand depends on firms' posted prices and consumers' price expectations called reference prices. Consumers' reference prices vary over…
It is of high interest for a company to identify customers expected to bring the largest profit in the upcoming period. Knowing as much as possible about each customer is crucial for such predictions. However, their demographic data,…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
We study non-atomic congestion games on parallel-link networks with affine cost functions. We investigate the power of machine-learned predictions in the design of coordination mechanisms aimed at minimizing the impact of selfishness. Our…
We embed observational learning (BHW) in a symmetric duopoly with random arrivals and search frictions. With fixed posted prices, a mixed-strategy pricing equilibrium exists and yields price dispersion even with ex-ante identical firms. We…