2015 Informs Annual Meeting

MD07

INFORMS Philadelphia – 2015

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, rafael.mendoza-arriaga@mccombs.utexas.edu 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, zhaolong.soul@gmail.com, 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, xiao.han@utexas.edu, 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, 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, rafael.mendoza-arriaga@mccombs.utexas.edu, 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, vibs@andrew.cmu.edu 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@temple.edu 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. Austin, TX, 78703, United States of America, Vishwakant.Malladi@phd.mccombs.utexas.edu, Rafael Mendoza-arriaga, Stathis Tompaidis

2 - Empirical Analysis of the Effectiveness of Mobile Channels Marcel Goic, Assistant Professor Or Marketing, University of Chile, Republica #701, Santiago 8370438, Chile, mgoic@dii.uchile.cl, 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, beibeili@andrew.cmu.edu, 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, vibs@andrew.cmu.edu, 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, ls.om@cbs.dk 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, eppinger@mit.edu 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. 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, hguo@nd.edu 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, wjabr@gsu.edu, 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. MD10 10-Room 310, Marriott IT-Enabled Competitive Strategies

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