Informs 2015

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INFORMS Philadelphia – 2015
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MD07
07-Room 307, Marriott
Quantitative Methods for Financial Applications
Cluster: Risk Management
Invited Session
Chair: Rafael Mendoza-Arriaga, McCombs School of Business,
1 University Station, Austin, TX, 78712, United States of America,
1 - Storage Valuation
Long Zhao, PhD Student, UT McCombs Bussiness School, 2110
Speedway Stop B6500, CBA 5.202, Austin, TX, 78712-1277,
United States of America, ,
Stathis Tompaidis, Kumar Muthuraman
We use moving boundary method to approach the valuation problem of storage
with transaction costs. If the storage facility is a price taker and price follows a
mean-reverting process with seasonality, we are able to find the optimal strategy
of injection and withdraw. Because of discounting, we may hold even price is
super cheap. We may choose to hold instead of injection when the price is low
because high selling transaction costs prevent us from selling them in the future.
2 - Predictable Forward Mean Variance Preferences
Xiao Han, PhD Student/Teaching Assistant, The University of
Texas at Austin, 7802 Lecompte Rd., Austin, TX, 78717, United
States of America, , Thaleia Zariphopoulou
The classical mean variance preference poses a serious challenge when applied in
the context of long term portfolio management. In the spirit of the forward utility
preference of Musiela and Zariphopoulou, we propose a dynamic, self generating,
mean variance preference that is flexible with both horizon and the associated
model/parameter uncertainties. We will show that the new preference generates
a much higher Sharpe ratio in a market with uncertain, time varying risk
premium.
3 - Modelling of Electricity Supply Curves under Correlated
Plant Behavior
Vishwakant Malladi, Doctoral Student, UT Austin,
Austin, TX, 78703, United States of America,
Rafael Mendoza-arriaga, Stathis Tompaidis
We present a framework where the electricity plants in a region are modeled as
subordinated Markov Chains. We also develop a factor model for Markov chain
generators to separate both the idiosyncratic and correlated behavior of the
plants. Calibration shows that supply curves are bent resulting in lower
generation capacity available at higher reliability levels.
4 - Modeling Electricity Prices: A Time Change Approach
Rafael Mendoza-Arriaga, McCombs School of Business,
1 University Station, Austin, TX, 78712, United States of America,
, Zhiyu Mo,
Lingfei Li, Daniel Mitchell
We develop a new framework for modeling electricity spot prices by time
changing the basic affine jump diffusion, which successfully captures seasonal
spikes. Our model is easy to estimate from data and it is tractable for pricing
electricity derivatives.
MD08
08-Room 308, Marriott
Mobile-Based Business Model Innovations
Cluster: Business Model Innovation
Invited Session
Chair: Vibhanshu Abhishek, Carnegie Mellon University, 5000 Forbes
Avenue, Pittsburgh, PA, 15213, United States of America,
1 - Big Data Business Analytics from Mobile Marketing Innovation
Perspectives
Xueming Luo, Temple University, 1801 Liacouras Walk,
Philadelphia, PA, United States of America,
Xueming Luo will address big data business analytics from mobile marketing
innovation perspectives. Over 3.6 billion people worldwide are deeply engaged
with smartphone devices, machine-to-machine connected solutions, wearables,
Internet-of-things technologies. As marketers can send ads to smartphone users
anywhere they are, marketing discipline now faces tremendous opportunities of
coming up with new theory and industry practices for manager and consumer
insights. Xueming will explore how mobile technologies and connected smart
devices affect advertising, promotions, marketing ROI, and omni-channel
targeting effectiveness.
2 - Empirical Analysis of the Effectiveness of Mobile Channels
Marcel Goic, Assistant Professor Or Marketing, University of
Chile, Republica #701, Santiago 8370438, Chile,
, Jose Guajardo
The continuously growing use of mobile devices provides the opportunity to use
this new channel to complement the value proposition that companies offer to
their customer. However, the nature of costumer responses to these initiatives
remains largely unexplored. We empirically investigate the drivers of effectiveness
in managing a mobile transactional channel and how to use location-based
information to interact with consumers.
3 - Nudging Mobile Advertising with Offline Social Contexts
Beibei Li, Assistant Professor, Carnegie Mellon University, 5000
Forbes Ave, Pittsburgh, PA, 15213, United States of America,
, Anindya Ghose, Siyuan Liu
We conducted a large-scale field experiment in a major shopping mall in Aisa for
three weeks in 2015 based on a total of 52,500 unique user responses. Our results
allow us to examine how offline social context would affect the effectiveness of
mobile advertising.
4 - Evaluating Consumer M-health Services for Promoting Healthy
Eating: A Randomized Field Experiment
Vibhanshu Abhishek, Carnegie Mellon University, 5000 Forbes
Avenue, Pittsburgh, PA, 15213, United States of America,
, Rema Padman, Yi-chin Lin, Julie Downs
In this paper we provide a systematic study on the effectiveness of using mHealth
to promote healthy eating. We examine the effects of an mHealth app on food
choices in a 4-month randomized field experiment. Mixed models showed that
the mobile-based visual diary might be effective in increasing engagement.
Results also showed strong evidence that dietitian support significantly improves
consumer engagement in self-monitoring, and this effect was mediated by
consumers’ intention.
MD09
09-Room 309, Marriott
TIMES Distinguished Speaker
Sponsor: Technology, Innovation Management & Entrepreneurship
Sponsored Session
Chair: Leonardo Santiago, Associate Professor, Copenhagen Business
School, Department of Operations Management, Solbjerg Plads 3,
Blok B 5. sal, Frederiksberg, 2000, Denmark,
1 - The Structure and Management of Technical Projects
Steven Eppinger, Professor Of Management Science And
Innovation, Massachusetts Institute of Technology,
Sloan School of Management, Cambridge, MA, 02421,
United States of America,
Design structure matrix (DSM) has been used both as a research method and as a
management tool to improve performance of engineering projects. This
presentation reviews some key DSM research results and ways in which the
method is used today to manage complex technical projects. I will also offer
thoughts on frontiers in technology management that may be addressed using
DSM modeling and some reflections on why it takes more than 20 years to bring
a practical method into common practice.
MD10
10-Room 310, Marriott
IT-Enabled Competitive Strategies
Sponsor: E-Business
Sponsored Session
Chair: Hong Guo, University of Notre Dame, 356 Mendoza College of
Business, Notre Dame, IN, 46556, United States of America,
1 - An Analysis of the Delay in Customer Support Forums: An
Analytical and Empirical Approach
Wael Jabr, Assistant Professor, Georgia State University, 35 Broad
Street, Robinson College of Business, Atlanta, GA, 30303,
United States of America, , Radha Mookerjee,
Vijay Mookerjee
User forums are a popular alternative to traditional support channels. To
understand the dynamics of problem resolution there, we analyze the delay
incurred by users waiting for a solution. Using datasets from support forums we
find that users who initiate threads suffer a shorter delay than those who join
later on. We explain this counter-intuitive result with queuing theory. We use the
empirical findings to devise a policy for firm involvement aiming at minimizing
overall delay.
MD07