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Benchmarks offer a scientific way to compare algorithms using objective performance metrics. Good benchmarks have two features: (a) they should be widely useful for many research groups; (b) and they should produce reproducible findings. In…
Machine learning models play a key role for service providers looking to gain market share in consumer markets. However, traditional learning approaches do not take into account the existence of additional providers, who compete with each…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
Online marketplaces use rating systems to promote the discovery of high-quality products. However, these systems also lead to high variance in producers' economic outcomes: a new producer who sells high-quality items, may unluckily receive…
Recommender systems can be formulated as a matrix completion problem, predicting ratings from user and item parameter vectors. Optimizing these parameters by subsampling data becomes difficult as the number of users and items grows. We…
Control charts have traditionally been used in industrial statistics, but are constantly seeing new areas of application, especially in the age of Industry 4.0. This paper introduces a new method, which is suitable for applications in the…
The marginal maximum a posteriori probability (MAP) estimation problem, which calculates the mode of the marginal posterior distribution of a subset of variables with the remaining variables marginalized, is an important inference problem…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
We study the competitive and welfare effects of copyright in creative industries in the face of cost-reducing technologies such as generative artificial intelligence. Creative products often feature unstructured attributes (e.g., images and…
Benchmarks for the evaluation of model performance play an important role in machine learning. However, there is no established way to describe and create new benchmarks. What is more, the most common benchmarks use performance measures…
The design and operation of protective systems is an essential engineering responsibility. Ensuring public safety, while essential, must be accomplished at a feasible cost and within government regulation. Hence, protective system design…
Major online platforms today can be thought of as two-sided markets with producers and customers of goods and services. There have been concerns that over-emphasis on customer satisfaction by the platforms may affect the well-being of the…
This work focuses on a specific classification problem, where the information about a sample is not readily available, but has to be acquired for a cost, and there is a per-sample budget. Inspired by real-world use-cases, we analyze average…
Product personalization opens the door to price discrimination. A rich product line allows firms to better tailor products to consumers' tastes, but the mere choice of a product carries valuable information about consumers that can be…
This paper critically investigates standard total factor productivity (TFP) measurement in the public sector, where output information is often incomplete or distorted. The analysis reveals fundamental paradoxes under three common output…
A key challenge to performing effective analyses of high-dimensional data is finding a signal-rich, low-dimensional representation. For linear subspaces, this is generally performed by decomposing a design matrix (via eigenvalue or singular…
How much has market power increased in the United States in the last fifty years? And how did the rise in market power affect aggregate profits? Using micro-level data from U.S. Compustat, we find that several indicators of market power…
Estimating generation costs from observed electricity market data is essential for market simulation, strategic bidding, and system planning. To that end, we model the relationship between generation costs and production schedules with a…
We comment on some conceptual and and technical problems related to computational mechanics, point out some errors in several papers, and straighten out some wrong priority claims. We present explicitly the correct algorithm for…