Related papers: Dynamic Wholesale Pricing under Censored-Demand Le…
This paper examines whether one can learn to play an optimal action while only knowing part of true specification of the environment. We choose the optimal pricing problem as our laboratory, where the monopolist is endowed with an…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
We study the dynamic pricing and replenishment problems under inconsistent decision frequencies. Different from the traditional demand assumption, the discreteness of demand and the parameter within the Poisson distribution as a function of…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a universal and…
We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…
This paper studies identification and estimation of a dynamic discrete choice model of demand for differentiated product using consumer-level panel data with few purchase events per consumer (i.e., short panel). Consumers are…
Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…
We analyze an infinite-horizon deterministic joint replenishment model from a non-cooperative game-theoretical approach. In this model, a group of retailers can choose to jointly place an order, which incurs a major setup cost independent…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
This paper explores the application of a reinforcement learning (RL) framework using the Q-Learning algorithm to enhance dynamic pricing strategies in the retail sector. Unlike traditional pricing methods, which often rely on static demand…
A new microeconomic model is presented that aims at a description of the long-term unit sales and price evolution of homogeneous non-durable goods in polypoly markets. It merges the product lifecycle approach with the price dispersion…
Classical Kyle-type models of informed trading typically treat noise trader demand as purely exogenous. In reality, many market participants react to price movements and news, generating feedback effects that can significantly alter market…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
We study consumer demand in large-scale retail settings with many products, multiple categories and repeated purchase behavior. While inertia and brand loyalty are well documented, existing discrete choice models typically focus on single…
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…
We study dynamic reputation in a social-learning environment where only purchase decisions are observable. A long-lived seller posts a fixed price and chooses costly product quality in each period before interacting with short-lived buyers…