A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Real-time bidding (RTB) systems, which utilize auctions to allocate user impressions to competing advertisers, continue to enjoy success in digital advertising. Assessing the effectiveness of such advertising remains a challenge in research and practice. This paper proposes a new approach to perform causal inference on…
In online advertising, display ads are increasingly being placed based on real-time auctions where the advertiser who wins gets to serve the ad. This is called real-time bidding (RTB). In RTB, auctions have very tight time constraints on the order of 100ms. Therefore mechanisms for bidding intelligently such as clickth…
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions -- throughout the day for buying ad-inventory with the aim of maximizing one or severa…
In recent years, RTB(Real Time Bidding) becomes a popular online advertisement trading method. During the auction, each DSP(Demand Side Platform) is supposed to evaluate current opportunity and respond with an ad and corresponding bid price. It's essential for DSP to find an optimal ad selection and bid price determina…
Real-Time Bidding is nowadays one of the most promising systems in the online advertising ecosystem. In the presented study, the performance of RTB campaigns is improved by optimising the parameters of the users' profiles and the publishers' websites. Most studies about optimising RTB campaigns are focused on the biddi…
Real time bidding (RTB) enables demand side platforms (bidders) to scale ad campaigns across multiple publishers affiliated to an RTB ad exchange. While driving multiple campaigns for mobile app install ads via RTB, the bidder typically has to: (i) maintain each campaign's efficiency (i.e., meet advertiser's target cos…
We provide an exact analytical solution of the Nash equilibrium for k- price auctions. We also introduce a new type of auction and demonstrate that it has fair solutions other than the second price auctions, therefore paving the way for replacing second price auctions.
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the imbalance is; the final auction price reacts to a single auction order placement or can…
AHEAD improves financial market efficiency through ad-hoc auctions.
problem Improving financial market efficiency and reducing transaction costs.
method Introducing a new matching design (AHEAD) for electronic markets where participants can trade at a fixed price and trigger auctions when unsatisfied.
result A Nash equilibrium is achieved in the market, and ad-hoc auctions are more relevant and efficient than periodic auctions and continuous limit order books.
In the last three decades, we have seen a significant increase in trading goods and services through online auctions. However, this business created an attractive environment for malicious moneymakers who can commit different types of fraud activities, such as Shill Bidding (SB). The latter is predominant across many a…
The paper examines how builders in Ethereum auctions can defect and replicate winning MEV opportunities, affecting searchers' bidding strategies.
problem Commitment problem in Ethereum auctions where builders can defect and replicate winning MEV opportunities.
method Modeling and analysis of searchers' bidding strategies and the resulting equilibrium, using libMEV dataset.
result The equilibrium is piecewise, with the cost of imperfect commitment depending on replicability and competition. There is sharp heterogeneity across MEV types.
We consider a class of auctions (Lowest Unique Bid Auctions) that have achieved a considerable success on the Internet. Bids are made in cents (of euro) and every bidder can bid as many numbers as she wants. The lowest unique bid wins the auction. Every bid has a fixed cost, and once a participant makes a bid, she gets…
Optimizes reserve prices for first-price auctions to maximize revenue.
problem Optimizing reserve prices for first-price auctions in display advertising.
method Gradient-based algorithm to adaptively update and optimize reserve prices based on bidder responsiveness to experimental shocks.
result Revenue optimization in first-price auctions can be decomposed into demand and bidding components, and techniques are introduced to reduce variance of each.
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance related auction settings since asset prices are usually non-negative. 2. We formulat…
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnitude decreases, favoring underdiffusion, while the rate of these events…
We study a phenomenological model for the continuous double auction, equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior …