Related papers: Conjectural Variations in Competitive Dynamic Pric…

In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…

In this study, we apply reinforcement learning techniques and propose what we call reinforcement mechanism design to tackle the dynamic pricing problem in sponsored search auctions. In contrast to previous game-theoretical approaches that…

We consider a firm that sells a large number of products to its customers in an online fashion. Each product is described by a high dimensional feature vector, and the market value of a product is assumed to be linear in the values of its…

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…

Whenever customers' choices (e.g. to buy or not a given good) depend on others choices (cases coined 'positive externalities' or 'bandwagon effect' in the economic literature), the demand may be multiply valued: for a same posted price,…

The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…

Learning customer preferences from an observed behaviour is an important topic in the marketing literature. Structural models typically model forward-looking customers or firms as utility-maximizing agents whose utility is estimated using…

Predicting customers' long-term revenue from sparse and irregular transaction data is central to marketing resource allocation in non-contractual settings, yet existing approaches face a trade-off. Traditional probabilistic customer base…

Starting from a heuristic learning scheme for N-person games, we derive a new class of continuous-time learning dynamics consisting of a replicator-like drift adjusted by a penalty term that renders the boundary of the game's strategy space…

Despite a substantial body of theoretical and empirical research in the fields of conjoint and discrete choice analysis as well as product line optimization, relatively few papers focused on the simulation of subsequent competitive dynamics…

Price discrimination, which refers to the strategy of setting different prices for different customer groups, has been widely used in online retailing. Although it helps boost the collected revenue for online retailers, it might create…

In lending, where prices are specific to both customers and products, having a well-functioning personalized pricing policy in place is essential to effective business making. Typically, such a policy must be derived from observational…

We consider the problem of online dynamic mechanism design for sequential auctions in unknown environments, where the underlying market and, thus, the bidders' values vary over time as interactions between the seller and the bidders…

Companies across the globe are keen on targeting potential high-value customers in an attempt to expand revenue and this could be achieved only by understanding the customers more. Customer Lifetime Value (CLV) is the total monetary value…

Learning effective pricing strategies is crucial in digital marketplaces, especially when buyers' valuations are unknown and must be inferred through interaction. We study the online contextual pricing problem, where a seller observes a…

Two long-lived senders play a dynamic game of competitive persuasion. Each period, each provides information to a single short-lived receiver. When the senders also set prices, we unearth a folk theorem: if they are sufficiently patient,…

In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…