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We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…
Recovering shadows is an important step for many vision algorithms. Current approaches that work with time-lapse sequences are limited to simple thresholding heuristics. We show these approaches only work with very careful tuning of…
Budget management strategies in repeated auctions have received growing attention in online advertising markets. However, previous work on budget management in online bidding mainly focused on second-price auctions. The rapid shift from…
Real-time advertising allows advertisers to bid for each impression for a visiting user. To optimize specific goals such as maximizing revenue and return on investment (ROI) led by ad placements, advertisers not only need to estimate the…
We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
This paper introduces a novel decision-focused framework for energy storage arbitrage bidding. Inspired by the bidding process for energy storage in electricity markets, we propose a predict-then-bid end-to-end method incorporating the…
This note is a complementary material for the solution of optimal real-time bidding function in paper "Optimal Real-Time Bidding for Display Advertising, KDD 2014", where the estimated cost is taken as the bid price, i.e., the upper bound…
In this paper, we propose a new method for estimating the conditional risk-neutral density (RND) directly from a cross-section of put option bid-ask quotes. More precisely, we propose to view the RND recovery problem as an inverse problem.…
On ad exchange platforms the place for advertisement is sold through different kinds of auctions. However, it is not uncommon the situation where the seller repeatedly encounters only one buyer, thus the posted price auction degenerates…
We study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions that exploits a staggered…
Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…
In online advertising, auto-bidding has become an essential tool for advertisers to optimize their preferred ad performance metrics by simply expressing high-level campaign objectives and constraints. Previous works designed auto-bidding…
In this work, we investigate online mechanisms for trading time-sensitive valued data. We adopt a continuous function $d(t)$ to represent the data value fluctuation over time $t$. Our objective is to design an \emph{online} mechanism…
Inspired by real-time ad exchanges for online display advertising, we consider the problem of inferring a buyer's value distribution for a good when the buyer is repeatedly interacting with a seller through a posted-price mechanism. We…
Auto-bidding systems aim to maximize advertiser value over long horizons under budget constraints and ratio targets such as cost-per-acquisition, yet future traffic and auction dynamics are non-stationary and uncertain. Existing approaches…
Real-Time Bidding (RTB) is revolutionising display advertising by facilitating per-impression auctions to buy ad impressions as they are being generated. Being able to use impression-level data, such as user cookies, encourages user…
Real-time Bidding (RTB) advertisers wish to \textit{know in advance} the expected cost and yield of ad campaigns to avoid trial-and-error expenses. However, Campaign Performance Forecasting (CPF), a sequence modeling task involving tens of…
This paper proposes a novel energy storage price arbitrage algorithm combining supervised learning with dynamic programming. The proposed approach uses a neural network to directly predicts the opportunity cost at different energy storage…
Auto-bidding is widely used in advertising systems, serving a diverse range of advertisers. Generative bidding is increasingly gaining traction due to its strong planning capabilities and generalizability. Unlike traditional reinforcement…