We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...

Shipping freight rates are notoriously volatile and shipping investors are perceived to be risk-loving. This paper explores the stochastic properties of freight rates in the shipping industry and derives the analytical equations for their moments in downside and upside markets using a two-piece...

It is standard procedure to use short-term measures for designing customized marketing campaigns and evaluating their success. We consider the integration of customer lifetime value (CLV) thinking into the category selection problem for targeted coupons. This problem involves two primary...

We develop and test a model of the global trade network. This model connects international comovements of quantities and asset prices to a simple measure of network closeness, constructed from observed trade weights. We report three findings: (1) Countries that are closer in the network tend to...

Good segmentation contributes towards a better understanding of the market and customer demands. This study aims to develop a new methodological approach, integrating "Recency, Frequency and Monetary" with the sparse K-means clustering algorithm of Witten and Tibshirani (2010). The proposed...

The demand for services such as self-storage varies across locations, over time, as well as across customer segments. Service providers try to leverage these variations and maximize profits by adopting dynamic pricing policies. Implementing dynamic pricing, however, requires accurate estimates...

We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading venues connected by profit-seeking arbitrageurs. Arbitrageurs effectively provide liquidity to investors by inter-mediating trades between venues....