论文速递|Management Science 6月文章合集

编者按：

在本系列文章中，我们从运筹学顶刊Management Science在2024年6月份发布的31篇文章中筛选出了7篇文章，并介绍其基本信息，旨在帮助读者快速洞察行业最新动态。

文章1

题目

Information Search Within a Web Page: Modeling the Full Sequence of Eye Movement Decisions, Subjective Value Updating, and First Clicks网页内信息搜索：模拟整个眼动决策序列、主观价值更新和首次点击

作者

Joy Lu, J. Wesley Hutchinson

原文链接

https://doi.org/10.1287/mnsc.2022.02983

发布时间

3 Jun 2024

摘要

Online retail settings often present shoppers with large, complex choice sets where they need to quickly and dynamically weigh the benefits and costs of search within each web page. We build a model of information search within a web page using eye-tracking data collected during two incentive-compatible online shopping experiments, in which participants browsed the websites of two different clothing retailers (Experiments 1 and 2), as well as previously reported data from a laboratory experiment involving choices among snack food assortments (Experiment 3). Our model incorporates features that build upon recent advances in descriptive and normative models of information sampling and search in psychology and economics. First, our model captures how people decide where to look by treating eye fixations on clickable options as a series of “split-second” decisions that depend on estimates of option attractiveness and navigation effort. Second, our model assumes that the value of each option is learned via Bayesian updating. Third, the choice to end search on the web page depends on a dynamic decision threshold. Our model outperforms benchmarks that assume random search, instant learning, fixed thresholds, nonheterogeneous thresholds, and stochastic accumulator stopping rules. Explicitly modeling the sequence of eye fixation decisions results in accurate counterfactual simulations of the effects of hypothetical product orderings on search duration and quality as verified using experimental manipulation, and it can be applied flexibly to a wide range of web-page layouts. Systematic differences across experiments highlight the importance of accounting for product familiarity, choice-set size, and the role of category outside options.

在线零售环境常常向购物者展示大量复杂的选择集，他们需要快速并动态地权衡每个网页内搜索的成本和收益。我们利用在两个激励相容的在线购物实验中收集的眼动追踪数据构建了一个网页内信息搜索模型，在这两个实验中，参与者浏览了两个不同服装零售商的网站（实验1和实验2），以及之前报告的涉及零食组合选择的实验室实验数据（实验3）。我们的模型包含了基于心理学和经济学中信息抽样和搜索的描述性和规范性模型的最新进展的特征。首先，我们的模型通过将可点击选项上的眼睛注视视为一系列“瞬间”决策，这些决策依赖于选项吸引力和导航努力的估计，来捕捉人们如何决定看哪里。其次，我们的模型假设每个选项的价值是通过贝叶斯更新学习的。第三，结束网页搜索的决策取决于一个动态的决策阈值。我们的模型优于那些假设随机搜索、即时学习、固定阈值、非异质阈值和随机积累器停止规则的基准。明确地模拟眼睛注视决策序列可以准确模拟假设产品排序对搜索持续时间和质量的影响，并通过实验操作进行验证，并且可以灵活地应用于各种网页布局。跨实验的系统性差异突出了考虑产品熟悉度、选择集大小和类别外选项角色的重要性。

文章2

题目

The Operational Data Analytics (ODA) for Service Speed Design服务速度设计的操作数据分析（ODA）

作者

Qi Feng, Zhibin Jiang, Jue Liu, J. George Shanthikumar, Yang Yang

原文链接

https://doi.org/10.1287/mnsc.2023.00655

发布时间

5 Jun 2024

摘要

We develop the operational data analytics (ODA) framework for the classical service design problem of G/G/c/k systems. The customer arrival rate is unknown. Instead, some historical data of interarrival times are collected. The data-integration model, specifying the mapping from the arrival data to the service rate, is formulated based on the time-scaling property of the stochastic service process. Validating the data-integration model against the long-run average service reward leads to a uniformly optimal service rate for any given sample size. We further derive the ODA-predicted reward function based on the data-integration model, which gives a consistent estimate of the underlying reward function. Our numerical experiments show that the ODA framework can lead to an efficient design of service rate and service capacity, which is insensitive to model specification. The ODA solution exhibits superior performance compared with the conventional estimation-and-then-optimization solutions in the small sample regime.

我们为经典的服务设计问题开发了操作数据分析（ODA）框架，针对𝐺/𝐺/𝑐/𝑘系统。客户到达率是未知的。相反，收集了一些到达间隔的历史数据。基于随机服务过程的时间缩放属性，制定了将到达数据映射到服务率的数据集成模型。将数据集成模型与长期平均服务奖励进行验证，可以得到对于任何给定样本大小的统一最优服务率。我们进一步基于数据集成模型导出了ODA预测的奖励函数，它提供了对底层奖励函数的一致估计。我们的数值实验表明，ODA框架可以导致服务率和服务能力的高效设计，对模型规格不敏感。在小样本情况下，ODA解决方案的表现优于传统的先估计再优化的解决方案。

文章3

题目

On the Robustness of Idiosyncratic Volatility Effect关于个体特有波动性效应的稳健性研究

作者

Alexander Barinov

原文链接

https://doi.org/10.1287/mnsc.2022.04140

发布时间

10 Jun 2024

摘要

The idiosyncratic volatility (IVol) effect is robust to restricting the sample to New York Stock Exchange (NYSE) firms (once the proper listing indicator is used) and to excluding from the sample small, illiquid, and low-price stocks. The idiosyncratic volatility effect is also unlikely to stem from the short-run reversal, as the IVol effect stays significant for about six months and seems stronger for high turnover firms, which do not exhibit short-term reversal. The IVol effect also does not seem to weaken postpublication.

个体特有波动性（IVol）效应在限制样本为纽约证券交易所（NYSE）公司时仍然稳健（只要使用正确的上市指标），并且即使从样本中排除小型、流动性差和低价股票，该效应也依然稳健。个体特有波动性效应也不太可能源于短期逆转，因为IVol效应在大约六个月内保持显著，并且对于高周转率的公司来说似乎更强，这些公司并不表现出短期逆转。IVol效应在发表后也似乎没有减弱。

文章4

题目

The Co-Production of Service: Modeling Services in Contact Centers Using Hawkes Processes服务的共同生产：使用Hawkes过程建模联系中心的服务

作者

Andrew Daw, Antonio Castellanos, Galit B. Yom-Tov, Jamol Pender, Leor Gruendlinger

原文链接

https://doi.org/10.1287/mnsc.2021.04060

发布时间

11 Jun 2024

摘要

In customer support contact centers, every service interaction involves a messaging dialogue between a customer and an agent; together, they exchange information, solve problems, and collectively co-produce the service. Because the service progression is shaped by the history of conversation thus far, we propose a bivariate marked Hawkes process cluster model of the customer-agent interaction. To evaluate our stochastic model of service, we apply it to an industry contact center data set containing nearly 5 million messages. Through both a novel residual analysis comparison and several Monte Carlo goodness-of-fit tests, we show that the Hawkes cluster model indeed captures dynamics at the heart of the service and surpasses classic models that do not incorporate the service history. Furthermore, in an entirely data-driven simulation, we demonstrate how this history-dependent model can be leveraged operationally to inform a prediction-based routing policy. We show that widely used and well-studied customer routing policies can be outperformed with simple modifications according to the Hawkes model. Through analysis of a stylized model proposed in the contact center literature, we prove that service heterogeneity can cause this underperformance and, moreover, that such heterogeneity will occur if service closures are not carefully managed.

在客户支持联系中心，每一次服务互动都涉及到客户和代理之间的信息对话；他们一起交换信息，解决问题，并共同生产服务。由于服务的进展是由迄今为止的对话历史塑造的，我们提出了一个双变量标记Hawkes过程簇模型来模拟客户-代理互动。

为了评估我们的服务随机模型，我们将其应用于一个行业联系中心数据集，其中包含近500万条消息。通过一种新的残差分析比较和几个蒙特卡洛拟合优度测试，我们展示了Hawkes簇模型确实捕捉到了服务的核心动态，并且超越了那些不包含服务历史的典型模型。

此外，在一次完全基于数据的模拟中，我们展示了这个依赖历史模型如何在操作上被利用来通知基于预测的路由策略。我们展示了，根据Hawkes模型进行简单修改，可以超越广泛使用和深入研究的客户路由策略。

通过对联系中心文献中提出的一个风格化模型的分析，我们证明了服务异质性可能导致这种表现不佳，并且，如果服务关闭没有被仔细管理，这种异质性将会发生。

文章5

题目

Robustness to Dependency in Influence Maximization影响最大化中依赖性的鲁棒性

作者

Louis L. Chen, Chee Chin Lim, Divya Padmanabhan, Karthik Natarajan

原文链接

https://doi.org/10.1287/mnsc.2021.03445

发布时间

13 Jun 2024

摘要

In this paper, we pursue a correlation-robust study of the influence maximization problem. Departing from the classic independent cascade model, we study a diffusion process adversarially adapted to the choice of seed set. More precisely, rather than the independent coupling of known individual edge probabilities, we now evaluate a seed set’s expected influence under all possible correlations, specifically, the one that presents the worst case. We find that the worst case expected influence can be efficiently computed, its NP-hard optimization done approximately (1−1/e) with greedy construction, and we provide complete, efficient characterizations of the adversarial coupling, the random graph, and the random number of influenced nodes. But, most importantly, upon mixing the independent cascade with the worst case, we attain a tunable and more comprehensive model better suited for real-world diffusion phenomena than the independent cascade alone and without increased computational complexity. Extensions to the correlation-robust study of risk follow along with numerical experiments on network data sets with demonstration of how our models can be tuned.

在这篇论文中，我们对影响最大化问题进行了一种抗相关性的研究。与经典的独立级联模型不同，我们研究了一个针对种子集选择进行适应性调整的扩散过程。更准确地说，我们不是评估已知个体边概率的独立耦合，而是在所有可能的相关性下评估种子集的预期影响力，特别是呈现最坏情况的那个。

我们发现，最坏情况下的预期影响力可以有效地计算出来，其NP-hard优化可以通过贪婪构造近似完成（1-1/e），我们提供了对抗性耦合、随机图和随机影响节点数量的完整、高效的特征描述。但最重要的是，通过将独立级联与最坏情况混合，我们得到了一个可调节的、更全面的模型，它比单独的独立级联更适合现实世界的扩散现象，而且没有增加计算复杂性。风险的抗相关性研究的扩展以及在网络数据集上的数值实验随之而来，展示了我们的模型如何进行调整。

文章6

题目

Optimal Dynamic Clearing for Interbank Payments银行间的最优支付动态清算

作者

Shuzhen Chen, Opher Baron, Ningyuan Chen

原文链接

https://doi.org/10.1287/mnsc.2023.00380

发布时间

27 Jun 2024

摘要

We investigate the optimal clearing policy for a financial payment system composed of a number of member banks and a central bank in a dynamic setting, when new payment obligations or debts between member banks are generated over time. The central bank clears the debts among members in the system in order to minimize the costs, including the setup cost of each clearing, the variable cost of clearing the net debts, and the liquidity cost of uncleared debts. We formulate the problem using dynamic programming via state space reduction that provides a tractable framework to analyze and compute the optimal policy. We characterize the structure of the optimal policy and show that it is optimal for the central bank either to clear all the debts in the system or not to clear at all in each period under mild conditions. This structure leads to efficient computation of the optimal clearing policy. We further characterize the optimal clearing frequency based upon the deterministic approximation for the debt process. We conduct a comprehensive case study based on the data acquired from our industry partner, Payments Canada, to demonstrate the performance of the policy and its feasibility in industrial-size problems.

我们研究了一个由多家成员银行和中央银行组成的金融支付系统在动态环境中的最佳清算政策，当成员银行之间随时间产生新的支付义务或债务时。中央银行在系统中清算成员之间的债务，以最小化成本，包括每次清算的设置成本、清算净债务的变动成本，以及未清算债务的流动性成本。我们通过状态空间缩减使用动态规划来制定问题，这提供了一个可行的框架来分析和计算最佳政策。我们描述了最佳政策的结构，并表明在轻微条件下，中央银行在每个时期要么清算系统中的所有债务，要么根本不清算是最优的。这种结构导致最佳清算政策的高效计算。我们进一步基于债务过程的确定性近似来描述最佳清算频率。我们基于我们的行业合作伙伴加拿大支付公司提供的数据进行了全面的案例研究，以展示政策的性能及其在工业规模问题中的可行性。

文章7

题目

Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing深度学习随机资产模型的转移概率密度及其在期权定价中的应用

作者

Haozhe Su, M. V. Tretyakov, David P. Newton

原文链接

https://doi.org/10.1287/mnsc.2022.01448

发布时间

27 Jun 2024

摘要

Transition probability density functions (TPDFs) are fundamental to computational finance, including option pricing and hedging. Advancing recent work in deep learning, we develop novel neural TPDF generators through solving backward Kolmogorov equations in parametric space for cumulative probability functions. The generators are ultra-fast, very accurate and can be trained for any asset model described by stochastic differential equations. These are “single solve,” so they do not require retraining when parameters of the stochastic model are changed (e.g., recalibration of volatility). Once trained, the neural TDPF generators can be transferred to less powerful computers where they can be used for e.g. option pricing at speeds as fast as if the TPDF were known in a closed form. We illustrate the computational efficiency of the proposed neural approximations of TPDFs by inserting them into numerical option pricing methods. We demonstrate a wide range of applications including the Black-Scholes-Merton model, the standard Heston model, the SABR model, and jump-diffusion models. These numerical experiments confirm the ultra-fast speed and high accuracy of the developed neural TPDF generators.

转移概率密度函数（TPDFs）对计算金融至关重要，包括期权定价和对冲。在深度学习的最新工作基础上，我们开发了新颖的神经TPDF生成器，通过解决累积概率函数的参数空间中的逆向Kolmogorov方程。这些生成器超快速、非常准确，并且可以训练用于任何由随机微分方程描述的资产模型。它们是“一次性求解”，因此当随机模型的参数变化时（例如，波动率的重新校准），不需要重新训练。一旦训练完成，神经TPDF生成器可以转移到计算能力较低的计算机上，它们可以用于例如期权定价，速度几乎与TPDF已知的封闭形式一样快。

我们通过将所提出的神经近似TPDFs插入到数值期权定价方法中，展示了所提出神经近似TPDFs的计算效率。我们展示了广泛的应用，包括Black-Scholes-Merton模型、标准Heston模型、SABR模型和跳跃扩散模型。这些数值实验证实了所开发的神经TPDF生成器的超快速度和高准确性。