2015 StatisticalArbitrageMiningforDi

• (Zhang & Wang, 2015) ⇒ Weinan Zhang, and Jun Wang. (2015). “Statistical Arbitrage Mining for Display Advertising.” In: Proceedings of the 21st ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD-2015). ISBN:978-1-4503-3664-2 doi:10.1145/2783258.2783269

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Cited By

• http://scholar.google.com/scholar?q=%222015%22+Statistical+Arbitrage+Mining+for+Display+Advertising
• http://dl.acm.org/citation.cfm?id=2783258.2783269&preflayout=flat#citedby

Quotes

Author Keywords

• Display ads; on-line information services; real-time bidding; statistical arbitrage

Abstract

We study and formulate arbitrage in display advertising. Real-Time Bidding(RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction. Despite the new automation, the ad markets are still informationally inefficient due to the heavily fragmented marketplaces. Two display impressions with similar or identical effectiveness (e.g., measured by conversion or click-through rates for a targeted audience) may sell for quite different prices at different market segments or pricing schemes. In this paper, we propose a novel data mining paradigm called Statistical Arbitrage Mining(SAM) focusing on mining and exploiting price discrepancies between two pricing schemes. In essence, our SAMer is a meta-bidder that hedges advertisers' risk between CPA(cost per action) - based campaigns and CPM(cost per mille impressions) - based ad inventories; it statistically assesses the potential profit and cost for an incoming CPM bid request against a portfolio of CPA campaigns based on the estimated conversion rate, bid landscape and other statistics learned from historical data. In SAM, (i) functional optimisation is utilised to seek for optimal bidding to maximise the expected arbitrage net profit, and (ii) a portfolio-based risk management solution is leveraged to reallocate bid volume and budget across the set of campaigns to make a risk and return trade-off. We propose to jointly optimise both components in an EM fashion with high efficiency to help the meta-bidder successfully catch the transient statistical arbitrage opportunities in RTB. Both the offline experiments on a real-world large-scale dataset and online A/B tests on a commercial platform demonstrate the effectiveness of our proposed solution in exploiting arbitrage in various model settings and market environments.

References

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	Author	volume	Date Value	title	type	journal	titleUrl	doi	note	year
2015 StatisticalArbitrageMiningforDi	Weinan Zhang Jun Wang			Statistical Arbitrage Mining for Display Advertising				10.1145/2783258.2783269		2015