85 research outputs found
Decentralized interaction and co-adaptation in the repeated prisoner's dilemma
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
Negotiating over Bundles and Prices Using Aggregate Knowledge
Combining two or more items and selling them as one good, a practice called
bundling, can be a very effective strategy for reducing the costs of producing,
marketing, and selling goods. In this paper, we consider a form of multi-issue
negotiation where a shop negotiates both the contents and the price of bundles
of goods with his customers. We present some key insights about, as well as a
technique for, locating mutually beneficial alternatives to the bundle
currently under negotiation. The essence of our approach lies in combining
historical sales data, condensed into aggregate knowledge, with current data
about the ongoing negotiation process, to exploit these insights. In
particular, when negotiating a given bundle of goods with a customer, the shop
analyzes the sequence of the customer's offers to determine the progress in the
negotiation process. In addition, it uses aggregate knowledge concerning
customers' valuations of goods in general. We show how the shop can use these
two sources of data to locate promising alternatives to the current bundle.
When the current negotiation's progress slows down, the shop may suggest the
most promising of those alternatives and, depending on the customer's response,
continue negotiating about the alternative bundle, or propose another
alternative. Extensive computer simulation experiments show that our approach
increases the speed with which deals are reached, as well as the number and
quality of the deals reached, as compared to a benchmark. In addition, we show
that the performance of our system is robust to a variety of changes in the
negotiation strategies employed by the customers.Comment: 15 pages, 7 eps figures, Springer llncs documentclass. Extended
version of the paper published in "E-Commerce and Web Technologies," Kurt
Bauknecht, Martin Bichler and Birgit Pr\"{o}ll (eds.). Springer Lecture Notes
in Computer Science, Volume 3182, Berlin: Springer, p. 218--22
Online Learning of Aggregate Knowledge about Non-linear Preferences Applied to Negotiating Prices and Bundles
In this paper, we consider a form of multi-issue negotiation where a shop
negotiates both the contents and the price of bundles of goods with his
customers. We present some key insights about, as well as a procedure for,
locating mutually beneficial alternatives to the bundle currently under
negotiation. The essence of our approach lies in combining aggregate
(anonymous) knowledge of customer preferences with current data about the
ongoing negotiation process. The developed procedure either works with already
obtained aggregate knowledge or, in the absence of such knowledge, learns the
relevant information online. We conduct computer experiments with simulated
customers that have_nonlinear_ preferences. We show how, for various types of
customers, with distinct negotiation heuristics, our procedure (with and
without the necessary aggregate knowledge) increases the speed with which deals
are reached, as well as the number and the Pareto efficiency of the deals
reached compared to a benchmark.Comment: 10 pages, 5 eps figures, ACM Proceedings documentclass, Published in
"Proc. 6th Int'l Conf. on Electronic Commerce ICEC04, Delft, The
Netherlands," M. Janssen, H. Sol, R. Wagenaar (eds.). ACM Pres
Governance and matching
We investigate the impact of advertising in a simple static differentiated
duopoly model. First, we consider the Nash equilibrium of the situation in which the
duopolistic firms compete simultaneously with two instruments, i.e. the prices and
the advertising expenditures. Second, we examine the Nash equilibrium of the situa-tion
in which the firms only compete in prices and do not advertise at all. Next, we
compare the two different Nash equilibria in order to assess the impact of advertising.
In particular, we characterize in terms of the model parameters the circumstances in
which the profits, outputs and/or prices of each firm are greater (smaller) in the Nash
equilibrium with advertising than in the Nash equilibrium without advertising. We
show that the results depend on (a) the size of the (positive) effect of advertising of a
firm on its own demand, (b) the size and nature (stimulating or adverse) of the
cross-effect of the advertising of each firm on the demand of the other firm, and (c)
the size of the autonomous demand of the firms.
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