Related papers: Merger Analysis with Unobserved Prices
This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…
We investigate fusing several unreliable computational units that perform the same task. We model an unreliable computational outcome as an additive perturbation to its error-free result in terms of its fidelity and cost. We analyze…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
The rapid explosion in retail data calls for more effective and efficient discovery of association rules to develop relevant business strategies and rules.Unlike online shopping sites, most brick and mortar retail shops are located in…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Supermarket models are a class of parallel queueing networks with an adaptive control scheme that play a key role in the study of resource management of, such as, computer networks, manufacturing systems and transportation networks. When…
This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…
This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
Congestion is a common failure mode of markets, where consumers compete inefficiently on the same subset of goods (e.g., chasing the same small set of properties on a vacation rental platform). The typical economic story is that prices…
Transaction data obtained by Personal Financial Management (PFM) services from financial institutes such as banks and credit card companies contain a description string from which the merchant, and an encoded store identifier may be parsed.…
We develop a model where firms determine the price at which they sell their differentiable goods, the volume that they produce, and the inputs (types and amounts) that they purchase from other firms. A steady-state production network…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
Many empirical studies estimate causal effects in environments where economic units interact through spatial or network connections. In such settings, outcomes are jointly determined, and treatment induced shocks propagate across…
The rise of "big data" has led to the frequent need to process and store datasets containing large numbers of high dimensional observations. Due to storage restrictions, these observations might be recorded in a lossy-but-sparse manner,…
We study periodic review stochastic inventory control in the data-driven setting where the retailer makes ordering decisions based only on historical demand observations without any knowledge of the probability distribution of the demand.…
Models of spatial firm competition assume that customers are distributed in space and transportation costs are associated with their purchases of products from a small number of firms that are also placed at definite locations. It has been…