A merchant sells a product over a selling season of T time periods in presence of a limited inventory. The merchant observes new external information at the beginning of each time period and then sets a price for that time period. Initially, the merchant does not know the distribution of the...

We develop an analytical framework to appropriately model and adequately analyze A/B tests in presence of nonparametric non-stationarities in the targeted business metrics. A/B tests, also known as online randomized controlled experiments, have been used at scale by data-driven enterprises to...

We propose a set of new algorithms based on stochastic localization methods for large-scale discrete simulation optimization problems with convexity structure. All proposed algorithms, with the general idea of "localizing" potential good solutions to an adaptively shrinking subset, are...

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e....

Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and volume interact, particularly when the levels of both...

In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we...

The two roles of a dealer in over-the-counter markets, immediacy provision and matchmaking, create a conflict of interest--the dealer prioritizes inventory turnover for immediacy provision, rather than making matches between customer flows. Compared to a counterfactual scenario without this...

In real-time decision-making problems for complicated stochastic systems, a covariate that reflects the state of the system is observed in real time and a state-dependent decision needs to be made immediately to optimize some system performance. Such system performances, for complicated...

The problems of online pricing with offline data, or other similar general online decision making with offline data problems, have observed increasing interests especially in operational research. To evaluate pricing policies when offline data are available, the decision maker can either...