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Predatory pricing -- where a firm strategically lowers prices to undermine competitors -- is a contentious topic in dynamic oligopoly theory, with scholars debating practical relevance and the existence of predatory equilibria. Although…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
A buyer wishes to purchase a durable good from a seller who in each period chooses a mechanism under limited commitment. The buyer's valuation is binary and fully persistent. We show that posted prices implement all equilibrium outcomes of…
We study the optimal dynamic pricing of an expiring ticket or voucher, sold by a time-sensitive seller to strategic buyers who arrive stochastically with private values. The expiring nature creates a conflict: the seller's urgency to sell…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
The prevalence of e-commerce has made detailed customers' personal information readily accessible to retailers, and this information has been widely used in pricing decisions. When involving personalized information, how to protect the…
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
In this work, we use a Stackelberg infinite discrete-time dynamic game model to study the optimal supply schedule and the optimal demand response under a market-driven dynamic price. A two-layer optimization framework is established. At the…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
Demand response (DR) programs play a crucial role in improving system reliability and mitigating price volatility by altering the core profile of electricity consumption. This paper proposes a game-theoretical model that captures the…
We consider a retailer running a switchback experiment for the price of a single product, with infinite supply. In each period, the seller chooses a price $p$ from a set of predefined prices that consist of a reference price and a few…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…
Walrasian prices, if they exist, have the property that one can assign every buyer some bundle in her demand set, such that the resulting assignment will maximize social welfare. Unfortunately, this assumes carefully breaking ties amongst…
A special case of Myerson's classic result describes the revenue-optimal equilibrium when a seller offers a single item to a buyer. We study a repeated sales extension of this model: a seller offers to sell a single fresh copy of an item to…
We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…
We study dynamic pricing where a seller repeatedly interacts with a strategic, non-myopic buyer who has a fixed private valuation and discounts future utility. Prior work focused exclusively on posted-price mechanisms, which only extract…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…