A monopolist offers a product to a market of consumers with heterogeneous quality preferences. Although initially uninformed about the product quality, they learn by observing past purchase decisions and reviews of other consumers. Our goal is to analyze the social learning mechanism and its...

Product choice when consumers engage in social learning has significant implications on learning outcomes and on the information accumulation rate. In many practical settings, consumers can choose which product to buy, if any, among several possible alternatives. The quality of these products...

We propose a tractable, data-driven demand estimation procedure based on the use maximum entropy (ME) distributions, and apply it to a stochastic capacity control problem motivated from airline revenue management. Specifically, we study the two fare-class "Littlewood" problem in a setting where...

In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books operating under a “price-time” priority rule and, in turn, can be modeled as multi-class FIFO queueing systems. A market with multiple...

We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. Using the structure of the optimal execution policy,...

Two products of unknown qualities are simultaneously launched by two different firms in the market. An infinite population of consumers with heterogeneous preferences sequentially decide whether to purchase one of the two products or not to buy at all. Arriving consumers estimate the qualities...

Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this decision is understanding the uncertainty of the execution of a limit order, that is, the fill probability or the probability that an order...

We study a multi-server queueing model of a revenue-maximizing firm providing a service to a market of heterogeneous price- and delay-sensitive customers with private individual preferences. The firm may offer a selection of service classes that are differentiated in prices and delays. Using a...