Nonparametric Pricing Bandits Leveraging Informational Externalities to Learn the Demand Curve

The authors are grateful for discussions and comments from Kanishka Misra, Oded Netzer, Eric Schwartz, Jiwoong Shin, Herb Sussman, and Kosuke Uetake as well as participants at the Yale School of Management Marketing Seminar; the University of Colorado Boulder Marketing Seminar; the Marketing Science Conference 2021; the Conference on Artificial Intelligence, Machine Learning, and Business Analytics 2023; the Marketing Dynamics Conference 2023; and the AMA Summer Academic Conference 2024. The authors also thank Yanlei He for his excellent research assistance.