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In this paper, by leveraging abundant observational transaction data, we propose a novel data-driven and interpretable pricing approach for markdowns, consisting of counterfactual prediction and multi-period price optimization. Firstly, we…
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…
In this paper we present an end-to-end framework for addressing the problem of dynamic pricing (DP) on E-commerce platform using methods based on deep reinforcement learning (DRL). By using four groups of different business data to…
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 study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
In this study, we investigate the problem of dynamic multi-product selection and pricing by introducing a novel framework based on a \textit{censored multinomial logit} (C-MNL) choice model. In this model, sellers present a set of products…
In this paper, we conduct a systematic large-scale analysis of order book-driven predictability in high-frequency returns by leveraging deep learning techniques. First, we introduce a new and robust representation of the order book, the…
A ubiquitous learning problem in today's digital market is, during repeated interactions between a seller and a buyer, how a seller can gradually learn optimal pricing decisions based on the buyer's past purchase responses. A fundamental…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
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…
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
Many retailers today employ inventory management systems based on Re-Order Point Policies, most of which rely on the assumption that all decreases in product inventory levels result from product sales. Unfortunately, it usually happens that…