Search Results - "Maglaras, Costis"

Optimal Dynamic Auctions for Revenue Management by Vulcano, Gustavo, van Ryzin, Garrett, Maglaras, Costis

“…We analyze a dynamic auction, in which a seller with C units to sell faces a sequence of buyers separated into T time periods. Each group of buyers has…”
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Monopoly Pricing in the Presence of Social Learning by Crapis, Davide, Ifrach, Bar, Maglaras, Costis, Scarsini, Marco

“…A monopolist offers a product to a market of consumers with heterogeneous quality preferences. Although initially uninformed about the product quality, they…”
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Thompson Sampling with Information Relaxation Penalties by Min, Seungki, Maglaras, Costis, Moallemi, Ciamac C.

“…We consider a finite-horizon multiarmed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With…”
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Optimal Price and Delay Differentiation in Large-Scale Queueing Systems by Maglaras, Costis, Yao, John, Zeevi, Assaf

“…We study a multiserver queueing model of a revenue-maximizing firm providing a service to a market of heterogeneous price- and delay-sensitive customers with…”
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A Maximum Entropy Joint Demand Estimation and Capacity Control Policy by Maglaras, Costis, Eren, Serkan

“…We propose a tractable, data‐driven demand estimation procedure based on the use of maximum entropy (ME) distributions, and apply it to a stochastic capacity…”
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Dynamic Pricing with Financial Milestones: Feedback-Form Policies by Besbes, Omar, Maglaras, Costis

“…We study a seller that starts with an initial inventory of goods, has a target horizon over which to sell the goods, and is subject to a set of financial…”
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Revenue Optimization for a Make-to-Order Queue in an Uncertain Market Environment by Besbes, Omar, Maglaras, Costis

“…We consider a revenue-maximizing make-to-order manufacturer that serves a market of price- and delay-sensitive customers and operates in an environment in…”
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Dynamic Pricing and Lead-Time Quotation for a Multiclass Make-to-Order Queue by Celik, Sabri, Maglaras, Costis

“…This paper considers a profit-maximizing make-to-order manufacturer that offers multiple products to a market of price and delay sensitive users, using a model…”
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A deep learning approach to estimating fill probabilities in a limit order book by Maglaras, Costis, Moallemi, Ciamac C., Wang, Muye

“…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…”
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Revenue management with minimax regret negotiations by Ayvaz-Cavdaroglu, Nur, Kachani, Soulaymane, Maglaras, Costis

“…We study the dynamic bilateral price negotiations from the perspective of a monopolist seller. We first study the classical static problem with an added…”
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Guest Editorial by Maglaras, Costis

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Dynamic pricing and lead-time quotation for a multiclass make-to-order queue by Celik, Sabri, Maglaras, Costis

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Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy by Bansal, Matulya, Maglaras, Costis

“…We study the dynamic pricing problem of a monopolist firm in presence of strategic customers that differ in their valuations and risk preferences. We show that…”
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Monopoly pricing with limited demand information by Eren, Serkan S, Maglaras, Costis

“…Traditional monopoly pricing models assume that firms have full information about the market demand and consumer preferences. In this article, we study a…”
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Guest Editorial by Maglaras, Costis

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Guest Editorial by Maglaras, Costis

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Operations in the Service Industries: Introduction to the Special Issue by Apte, Uday, Maglaras, Costis, Pinedo, Michael

“…This special issue of Production and Operations Management offers a sample of ongoing research that focuses currently on the services industries. The articles…”
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Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective by Min, Seungki, Moallemi, Ciamac C, Maglaras, Costis

“…We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random…”
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Thompson Sampling with Information Relaxation Penalties by Min, Seungki, Maglaras, Costis, Moallemi, Ciamac C

“…We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With…”
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Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution by Min, Seungki, Maglaras, Costis, Moallemi, Ciamac C

“…The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume…”
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