A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Demand response is designed to motivate electricity customers to modify their loads at critical time periods. The accurate estimation of impact of demand response signals to customers' consumption is central to any successful program. In practice, learning these response is nontrivial because operators can only send a …
Learning customer preferences from an observed behaviour is an important topic in the marketing literature. Structural models typically model forward-looking customers or firms as utility-maximizing agents whose utility is estimated using methods of Stochastic Optimal Control. We suggest an alternative approach to stud…
Whenever customers' choices (e.g. to buy or not a given good) depend on others choices (cases coined 'positive externalities' or 'bandwagon effect' in the economic literature), the demand may be multiply valued: for a same posted price, there is either a small number of buyers, or a large one -- in which case one says …
Considering a lead-time-and price-sensitive demand, we investigate whether a client rejection policy, modeled as M/M/1/K system, can be more profitable than an all-client acceptance policy, modeled as M/M/1 system. We provide analytical insights for the cases with and without holding and penalty costs by comparing M/M/…
Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock a…
We propose the new Top-Dog-Index to quantify the historic deviation of the supply data of many small branches for a commodity group from sales data. On the one hand, the common parametric assumptions on the customer demand distribution in the literature could not at all be supported in our real-world data set. On the o…
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
problem Network models assume idiosyncratic risk, which can be unrealistic and lead to incorrect predictions.
method Proposed a production-based asset pricing model to account for substitutability between trade partners and correlation in supply and demand shocks.
result Assets positively exposed to average propagation of upstream and downstream shocks earn lower average risk premia.
Study online pricing with contextual elasticity and heteroscedastic valuation.
problem Online contextual dynamic pricing with customer decision based on features and price.
method Introduced a novel approach to modeling customer demand with feature-based price elasticity and heteroscedastic noise. Proposed an efficient algorithm called Pricing with Perturbation (PwP).
result Proved an O(dTlogT) regret bound for the algorithm, matching a lower bound of Ω(dT).
One key requirement for effective supply chain management is the quality of its inventory management. Various inventory management methods are typically employed for different types of products based on their demand patterns, product attributes, and supply network. In this paper, our goal is to develop robust demand pr…
We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the information to drivers who need to refuel their vehicles. Our simulation uses real wor…
Efficient sequential matching of supply and demand is a problem of interest in many online to offline services. For instance, Uber, Lyft, Grab for matching taxis to customers; Ubereats, Deliveroo, FoodPanda etc for matching restaurants to customers. In these online to offline service problems, individuals who are respo…
Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the stock management of correlated marketable merchandise when using an inventory control method that was developed under the assumption that t…
The purpose of this study was to build a customer selection model based on 20 dimensions, including customer codes, total contribution, assets, deposit, profit, profit rate, trading volume, trading amount, turnover rate, order amount, withdraw amount, withdraw rate, process fee, process fee submitted, process fee retai…