相关论文: Imperfect demand estimation for new product produc…

Demand functions for goods are generally cyclical in nature with characteristics such as trend or stochasticity. Most existing demand forecasting techniques in literature are designed to manage and forecast this type of demand functions.…

Model misspecification is ubiquitous in data analysis because the data-generating process is often complex and mathematically intractable. Therefore, assessing estimation uncertainty and conducting statistical inference under a possibly…

Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…

We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asset while creating transient price impact. We propose a novel…

In many supply chains, the current efforts at digitalization have led to improved information exchanges between manufacturers and their customers. Specifically, demand forecasts are often provided by the customers and regularly updated as…

We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…

In model-based reinforcement learning, planning with an imperfect model of the environment has the potential to harm learning progress. But even when a model is imperfect, it may still contain information that is useful for planning. In…

We propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter $\rho \in [0,+\infty]$ shaping the supply-demand equilibrium and…

An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…

To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…

Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…

We discuss several aspects of creation of adequate mathematical models in other sciences. In particular, many difficulties stem from great complexity of the source systems and the presence of a variety of uncertain factors. We illustrate…

Demand forecasting is a crucial component of demand management. While shortening the forecasting horizon allows for more recent data and less uncertainty, this frequently means lower data aggregation levels and a more significant data…

In traditional models for word-of-mouth recommendations and viral marketing, the objective function has generally been based on reaching as many people as possible. However, a number of studies have shown that the indiscriminate spread of a…

In this paper, we formulate a method for minimising the expectation value of the procurement cost of electricity in two popular spot markets: {\it day-ahead} and {\it intra-day}, under the assumption that expectation value of unit prices…

In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…

Project promoters, forecasters, and managers sometimes object to two things in measuring inaccuracy in travel demand forecasting: (1) using the forecast made at the time of making the decision to build as the basis for measuring inaccuracy…

Online marketplaces increasingly do more than simply match buyers and sellers: they route orders across competing sellers and, in many categories, offer ancillary fulfillment services that make seller inventory a source of platform revenue.…

In the e-commerce space, accurate prediction of delivery dates plays a major role in customer experience as well as in optimizing the supply chain operations. Predicting a date later than the actual delivery date might sometimes result in…

Pricing of products and services, which has a significant impact on consumer demand, is one of the most important factors in maximizing business profits. Prescriptive price optimization is a prominent data-driven pricing methodology…