Related papers: Micro and Macro Perspectives on Production-Based M…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate…
In the propositional setting, the marginal problem is to find a (maximum-entropy) distribution that has some given marginals. We study this problem in a relational setting and make the following contributions. First, we compare two…
The manufacture of an information product (IP) is akin to the manufacture of a physical product. Current approaches to model such information manufacturing systems (IMS), lack the ability to systematically represent the dynamic changes…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
The subject of this paper is to introduce a novel permutation-based nonparametric approach for the problem of ranking several multivariate populations with respect to both experimental and observation studies to be referred to the most…
The standard framing treats structured human-data work as transitional, a bridge between today's imperfect models and a future state where automation is complete. We challenge this view by modeling structured human data as a persistent…
Randomized controlled experiments assess new policy impacts on performance metrics to inform launch decisions. Traditional approaches evaluate metrics independently despite correlations, and mixed results (e.g., positive revenue impact,…
Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
We develop a model where firms determine the price at which they sell their differentiable goods, the volume that they produce, and the inputs (types and amounts) that they purchase from other firms. A steady-state production network…
Financial markets are a source of non-stationary multidimensional time series which has been drawing attention for decades. Each financial instrument has its specific changing-over-time properties, making its analysis a complex task. Hence,…
Given a batch of human computation tasks, a commonly ignored aspect is how the price (i.e., the reward paid to human workers) of these tasks must be set or varied in order to meet latency or cost constraints. Often, the price is set…
Economic institutions often influence market outcomes not by directly controlling sellers' menus, but by shaping the market composition sellers face. We study the welfare effects of this upstream choice in a monopoly screening model. An…
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources $S$} (e.g., time, memory) if no strategy using resources…