Related papers: Multimarket Contact, Merger, and Airline Collusion
This paper examines whether widely used online learning algorithms in pricing can independently reach competitive outcomes or instead foster tacit collusion. This issue has drawn considerable attention from competition regulators as…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
Walrasian equilibrium prices can be said to coordinate markets: They support a welfare optimal allocation in which each buyer is buying bundle of goods that is individually most preferred. However, this clean story has two caveats. First,…
This paper examines how the observability of demand shocks influences pricing patterns and market outcomes when firms delegate pricing decisions to Q-learning algorithms. Simulations show that demand observability induces Q-learning agents…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
This study explores the enhancement of customer satisfaction in the airline industry, a critical factor for retaining customers and building brand reputation, which are vital for revenue growth. Utilizing a combination of machine learning…
We propose a fresh `meta-game' perspective on the problem of algorithmic collusion in pricing games a la Bertrand. Economists have interpreted the fact that algorithms can learn to price collusively as tacit collusion. We argue instead that…
Large language models (LLMs) have demonstrated impressive capabilities as autonomous agents with rapidly expanding applications in various domains. As these agents increasingly engage in socioeconomic interactions, identifying their…
We build on theoretical results from the mechanism design literature to analyze empirical models of second-degree price discrimination (2PD). We show that for a random-coefficients discrete choice ("BLP") model to be suitable for studying…
We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…
The rise of autonomous pricing systems has sparked growing concern over algorithmic collusion in markets from retail to housing. This paper examines controlled information quality as an ex ante policy lever: by reducing the fidelity of data…
With a novel search algorithm or assortment planning or assortment optimization algorithm that takes into account a Bayesian approach to information updating and two-stage assortment optimization techniques, the current research provides a…
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
We develop a tractable model for studying strategic interactions between learning algorithms. We uncover a mechanism responsible for the emergence of algorithmic collusion. We observe that algorithms periodically coordinate on actions that…
This paper studies repeated games where two players play multiple duopolistic games simultaneously (multimarket contact). A key assumption is that each player receives a noisy and private signal about the other's actions (private monitoring…
Advances in computational optimization allow for the organization of large combinatorial markets. We aim for allocations and competitive equilibrium prices, i.e. outcomes that are in the core. The research is motivated by the design of…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized…