7,745 research outputs found
A dynamic pricing model for unifying programmatic guarantee and real-time bidding in display advertising
There are two major ways of selling impressions in display advertising. They
are either sold in spot through auction mechanisms or in advance via guaranteed
contracts. The former has achieved a significant automation via real-time
bidding (RTB); however, the latter is still mainly done over the counter
through direct sales. This paper proposes a mathematical model that allocates
and prices the future impressions between real-time auctions and guaranteed
contracts. Under conventional economic assumptions, our model shows that the
two ways can be seamless combined programmatically and the publisher's revenue
can be maximized via price discrimination and optimal allocation. We consider
advertisers are risk-averse, and they would be willing to purchase guaranteed
impressions if the total costs are less than their private values. We also
consider that an advertiser's purchase behavior can be affected by both the
guaranteed price and the time interval between the purchase time and the
impression delivery date. Our solution suggests an optimal percentage of future
impressions to sell in advance and provides an explicit formula to calculate at
what prices to sell. We find that the optimal guaranteed prices are dynamic and
are non-decreasing over time. We evaluate our method with RTB datasets and find
that the model adopts different strategies in allocation and pricing according
to the level of competition. From the experiments we find that, in a less
competitive market, lower prices of the guaranteed contracts will encourage the
purchase in advance and the revenue gain is mainly contributed by the increased
competition in future RTB. In a highly competitive market, advertisers are more
willing to purchase the guaranteed contracts and thus higher prices are
expected. The revenue gain is largely contributed by the guaranteed selling.Comment: Chen, Bowei and Yuan, Shuai and Wang, Jun (2014) A dynamic pricing
model for unifying programmatic guarantee and real-time bidding in display
advertising. In: The Eighth International Workshop on Data Mining for Online
Advertising, 24 - 27 August 2014, New York Cit
Price and inventory dynamics in an oligopoly industry: A framework for commodity markets
This paper analyzes the interaction between price and inventory decisions in an oligopoly industry and its implications for the dynamics of prices. The work extends existing literature and especially the work of Hall and Rust (2007) to endogenous prices and strategic oligopoly competition. We show that the optimal decision rule is an (S, s) order policy and prices and inventory are strategic substitutes. Fixed ordering costs generate infrequent orders. Consequently, with strategic competition in prices, (S, s) inventory behavior together with demand uncertainty generates endogenous cyclical patterns in prices without any exogenous shocks. Hence, the developed model provides a promising framework for explaining dynamics of commodity markets and especially observed autocorrelation in price fluctuations. --Inventory dynamics,price competition,oligopoly,(S, s) order policy,commodity markets
Price and Inventory Dynamics in an Oligopoly Industry: A Framework for Commodity Markets
This paper analyzes the interaction between price and inventory decisions in an oligopoly industry and its implications for the dynamics of prices. The work extends existing literature and especially the work of Hall and Rust (2007) to endogenous prices and strategic oligopoly competition. We show that the optimal decision rule is an (S, s) order policy and prices and inventory are strategic substitutes. Fixed ordering costs generate infrequent orders. Consequently, with strategic competition in prices, (S, s) inventory behavior together with demand uncertainty generates endogenous cyclical patterns in prices without any exogenous shocks. Hence, the developed model provides a promising framework for explaining dynamics of commodity markets and especially observed autocorrelation in price fluctuations.Inventory dynamics, price competition, oligopoly, (S, s) order policy, commodity markets.
Copper and the negative price of storage
Commodities are often stored during periods in which storage returns a negative price. Further, during periods of"backwardation,"the expected revenue from holding inventories will be negative. Since the 1930s, the negative price of storage has been attributed to an offsetting"convenience yield."It has been argued that inventories are a necessary adjunct to business and that increasing inventories from some minimal level reduces overall costs. This theory has always been criticized by proponents of cost-of-carry models, who argue that a negative price for storage creates arbitrage opportunities. Proponents of the cost-of-carry model have asserted that storage will occur only with positive returns. They offer a set of price-arbitrage conditions that associate negative returns with stockouts. Still, stockouts are rare in commodity markets, and storage appears to take place during periods of"backwardation"in apparent violation of the price-arbitrage conditions. For copper, inventories have always been available to the market regardless of the price of storage. The author argues that although inventories may provide a cost-reducing convenience yield, inventories also have value because of uncertainty. Just as the price of a call option contains a premium based on price variability, so the shadow price of inventories contains a dispersion premium associated with the unplanned component of inventories. The author derives a generalized price-arbitrage condition in which either a convenience and/or a dispersion premium may justify inventory holding even during an expected price fall. He uses monthly observations of U.S. producer inventories to estimate the parameters of the price-arbitrage condition. The estimates and simulations he presents are ambiguous with regard to the existence of a convenience yield but strongly support the notion of a dispersion premium for copper. And although the average value of such a premium is low, the value of the premium increases rapidly during periods when inventories are scarce.Environmental Economics&Policies,Common Carriers Industry,Markets and Market Access,Access to Markets,Economic Theory&Research
Pricing Perishables with Uncertain Demand, Substitutes, and Consumer Heterogeneity
Within the marketing window for perishables such as food products, demand uncertainty is complicated by price sensitivity and propensity to postpone purchase that is heterogeneous across consumers. These features pose substantial challenges to retailers when pricing multiple products over time and across consumer segments. Getting the dynamic profile of prices right has implications for performance of vertical food chains ranging from revenues to food waste. This paper proposes an approach to dynamic pricing that is demonstrated to improve performance within this setting
Adjustment cost, demand uncertainty, and the behavior of the firm
Bibliography: p. 28-29.by Robert S. Pindyck
Dynamic Price Competition: Theory and Evidence from Airline Markets
We introduce a model of dynamic pricing in perishable goods markets with competition and provide conditions for equilibrium uniqueness. Pricing dynamics are rich because both own and competitor scarcity affect future profits. We identify new competitive forces that can lead to misallocation due to selling units too quickly: the Bertrand scarcity trap. We empirically estimate our model using daily prices and bookings for competing U.S. airlines. We compare competitive equilibrium outcomes to those where firms use pricing heuristics based on observed internal pricing rules at a large airline. We find that pricing heuristics increase revenues (4-5%) and consumer surplus (3%)
Rules versus Discretion in Loan Rate Setting
We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banks’ discretionary use of market power in the loan rate setting process. “Discretion” in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firms’ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of “discretion” in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation;loan rates;price discrimination;variance analysis
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