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The rapid development and deployment of vehicle technologies offer opportunities to re-think the way traffic is managed. This paper capitalizes on vehicle connectivity and proposes an economic instrument and corresponding cooperative…
Firms increasingly rely on dynamic pricing to respond to evolving customer demand, yet in many applications they observe only the revenue generated by a single posted price in each period. At the same time, market conditions may shift…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
A distributed, hierarchical, market based approach is introduced to solve the economic dispatch problem. The approach requires only a minimal amount of information to be shared between a central market operator and the end-users. Price…
Contemporary real-world online ad auctions differ from canonical models [Edelman et al., 2007; Varian, 2009] in at least four ways: (1) values and click-through rates can depend upon users' search queries, but advertisers can only partially…
Many settings, such as matching riders to drivers in ride-hailing platforms or in-stream video advertising, require handling arrivals over time. In such applications, it is often beneficial to group the arriving orders or requests into…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
We develop a parsimonious model of an e-commerce fulfillment center that offers time-dependent shipment options and corresponding fees to utility-maximizing customers arriving according to a Poisson process. For any such policy, we provide…
The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
Ride-sourcing platforms often face imbalances in the demand and supply of rides across areas in their operating road-networks. As such, dynamic pricing methods have been used to mediate these demand asymmetries through surge price…
We consider a simple two-player game involving a large incumbent and small entrant into a cellular wireless access provider marketplace. The entrant's customers must pay roaming charges. We assume that the roaming charges are regulated,…
We study the online constrained ranking problem motivated by an application to web-traffic shaping: an online stream of sessions arrive in which, within each session, we are asked to rank items. The challenge involves optimizing the ranking…
We examine two-sided markets where players arrive stochastically over time and are drawn from a continuum of types. The cost of matching a client and provider varies, so a social planner is faced with two contending objectives: a) to reduce…
E-commerce platforms usually present an ordered list, mixed with several organic items and an advertisement, in response to each user's page view request. This list, the outcome of ad auction and allocation processes, directly impacts the…
Cloud computing delivers value to users by facilitating their access to computing capacity in periods when their need arises. An approach is to provide both on-demand and spot services on shared servers. The former allows users to access…