Related papers: Heavy Tails Make Happy Buyers

We study autobidding ad auctions with user costs, where each bidder is value-maximizing subject to a return-over-investment (ROI) constraint, and the seller aims to maximize the social welfare taking into consideration the user's cost of…

We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…

We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays the maximum of the second-highest bid and a seller specified starting price. For many such auctions, the seller does not see all the…

We study reserve prices in auctions with independent private values when bidders are expectations-based loss averse. We find that the optimal public reserve price excludes fewer bidder types than under risk neutrality. Moreover, we show…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

Ads on the Internet are increasingly sold via ad exchanges such as RightMedia, AdECN and Doubleclick Ad Exchange. These exchanges allow real-time bidding, that is, each time the publisher contacts the exchange, the exchange ``calls out'' to…

We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic normality of the proposed estimator is established and checked,…

Simultaneous item auctions are simple procedures for allocating items to bidders with potentially complex preferences over different item sets. In a simultaneous auction, every bidder submits bids on all items simultaneously. The allocation…

Since 2019, most ad exchanges and sell-side platforms (SSPs), in the online advertising industry, shifted from second to first price auctions. Due to the fundamental difference between these auctions, demand-side platforms (DSPs) have had…

In quasi-proportional auctions, each bidder receives a fraction of the allocation equal to the weight of their bid divided by the sum of weights of all bids, where each bid's weight is determined by a weight function. We study the…

Recent spectrum auctions in the United Kingdom, and some proposals for future auctions of spectrum in the United States, are based on preliminary price discovery rounds, followed by calculation of final prices for the winning buyers. For…

Real-world visual data often exhibits a long-tailed distribution, where some ''head'' classes have a large number of samples, yet only a few samples are available for ''tail'' classes. Such imbalanced distribution causes a great challenge…

We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals…

Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…

Internet search results are a growing and highly profitable advertising platform. Search providers auction advertising slots to advertisers on their search result pages. Due to the high volume of searches and the users' low tolerance for…

Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We…

Currently, over 90% of Ethereum blocks are built using MEV-Boost, an auction that allows validators to sell their block-building power to builders who compete in an open English auction in each slot. Shortly after the merge, when MEV-Boost…

The classic result of Bulow and Klemperer (1996) shows that in multi-unit auctions with $m$ units and $n\geq m$ buyers whose values are sampled i.i.d. from a regular distribution, the revenue of the VCG auction with $m$ additional buyers is…

Budget constraints are ubiquitous in online advertisement auctions. To manage these constraints and smooth out the expenditure across auctions, the bidders (or the platform on behalf of them) often employ pacing: each bidder is assigned a…