This paper uses five pairs trading strategies to conduct in-sample training and backtesting on 35 commodities in the major commodity markets from 1980 to 2018. The Distance Method (DM) and the Co-integration Approach (CA) are used for pairs formation. The Simple Thresholds (ST) strategy, Genetic...

We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to T sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The demand model is assumed to be a high-dimensional...

The mobile app of a transportation network company (TNC) allows the TNC platform to run aggressive and diverse sales promotion to help introducing new product to two sides of users. This paper examines how two-sided sales promotion affects drivers' willingness to use the TNC app and how the TNC...

This paper studies the dynamic pricing problem under model mis-specifi cation settings. To characterize the model mis-specification, we extend the "eps-contamination model | the most fundamental model in robust statistics and machine learning, to the online setting. In particular, for a selling...