Statistical Arbitrage Mining for Display Advertising

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.Comment: In the proceedings of the 21st ACM SIGKDD international conference on Knowledge discovery and data mining (KDD 2015

Time and volume based optimal pricing strategies for telecommunication networks

In the recent past, there have been several initiatives by major network providers such as Turk Telekom lead the industry towards network capacity distribution in Turkey. In this study, we use a monopoly pricing model to examine the optimal pricing strategies for “pay-per-volume” and “pay-per-time” based leasing of data networks. Traditionally, network capacity distribution includes short/long term bandwidth and/or usage time leasing. Each consumer has a choice to select volume based pricing or connection time based pricing. When customers choose connection time based pricing, their optimal behavior would be utilizing the bandwidth capacity fully therefore it can cause network to burst. Also, offering pay-per-volume scheme to the consumer provides the advantage of leasing the excess capacity for other potential customers for network provider. We examine the following issues in this study: (i) What are the extra benefits to the network provider for providing the volume based pricing scheme? and (ii) Does the amount of demand (number of customers enter the market) change? The contribution of this paper is to show that pay-per-volume is a viable alternative for a large number of customers, and that judicious pricing for pay-per-volume is profitable for the network provider

Multi-keyword multi-click advertisement option contracts for sponsored search

In sponsored search, advertisement (abbreviated ad) slots are usually sold by a search engine to an advertiser through an auction mechanism in which advertisers bid on keywords. In theory, auction mechanisms have many desirable economic properties. However, keyword auctions have a number of limitations including: the uncertainty in payment prices for advertisers; the volatility in the search engine's revenue; and the weak loyalty between advertiser and search engine. In this paper we propose a special ad option that alleviates these problems. In our proposal, an advertiser can purchase an option from a search engine in advance by paying an upfront fee, known as the option price. He then has the right, but no obligation, to purchase among the pre-specified set of keywords at the fixed cost-per-clicks (CPCs) for a specified number of clicks in a specified period of time. The proposed option is closely related to a special exotic option in finance that contains multiple underlying assets (multi-keyword) and is also multi-exercisable (multi-click). This novel structure has many benefits: advertisers can have reduced uncertainty in advertising; the search engine can improve the advertisers' loyalty as well as obtain a stable and increased expected revenue over time. Since the proposed ad option can be implemented in conjunction with the existing keyword auctions, the option price and corresponding fixed CPCs must be set such that there is no arbitrage between the two markets. Option pricing methods are discussed and our experimental results validate the development. Compared to keyword auctions, a search engine can have an increased expected revenue by selling an ad option.Comment: Chen, Bowei and Wang, Jun and Cox, Ingemar J. and Kankanhalli, Mohan S. (2015) Multi-keyword multi-click advertisement option contracts for sponsored search. ACM Transactions on Intelligent Systems and Technology, 7 (1). pp. 1-29. ISSN: 2157-690

NEW GENERATION CO-OPERATIVES (NGC) AS A MODEL FOR VALUE-ADDED AGRICULTURAL PROCESSING IN ALBERTA: APPLICATIONS TO FACTORS AFFECTING CHOICE OF PRICING AND PAYMENT PRACTICES BY TRADITIONAL MARKETING AND NEW GENERATION CO-OPERATIVES

This study examines the factors affecting choice of pricing and payment practices by traditional marketing and new generation co-operatives for commodities delivered by their members. These factors include the demographic variables related to type of co-operative organization, level of competition in commodity market, and risk-return perceptions of members and co-operatives. Data for the analysis were obtained through a mail survey. Questionnaires were send to one hundred and ninety five (195) co-operatives in mid-west states of the U.S.A. and Canada. Altogether 93 co-operatives responded to the survey. Mean score analysis, factor analysis and multinomial logit analysis were done. The results indicate that traditional marketing co-operatives are more likely to choose spot market cash price, while new generation co-operatives are more likely to choose pooling practices. Traditional marketing co-operatives appear to be concerned about the members' cash flow needs and members' uncertainty of return; they are also more responsive to increased competitive level in commodity market. New generation co-operatives are more concerned with avoiding the risk of co-operatives' operating deficits and survival of co-operatives. This has implications for new co-operatives just beginning in business.Agribusiness,

The mechanics and regulation of variable payout annuities

This paper discusses the mechanics and regulation of participating and unit-linked variable payout annuities. These annuities offer benefits that are not fixed in either nominal or real terms but depend on the performance of the fund or funds in which the underlying reserve assets are invested, their profit sharing features, and the treatment of longevity risk. The paper focuses on the treatment of investment and longevity risks by different types of these annuities and underscores the challenge of establishing a robust and effective framework of regulation and supervision for these products. The paper also addresses the exposure of annuitants to integrity risk and places special emphasis on the need for a high level of meaningful transparency.Debt Markets,Insurance&Risk Mitigation,Investment and Investment Climate,Pensions&Retirement Systems,Non Bank Financial Institutions

The effects of qos level degradation cost on provider selection and task allocation model in telecommunication networks

Firms acquire network capacity from multiple suppliers which offer different Quality of Service (QoS) levels. After acquisition, day-to-day operations such as video conferencing, voice over IP and data applications are allocated between these acquired capacities by considering QoS requirement of each operation. In optimal allocation scheme, it is generally assumed each operation has to be placed into resource that provides equal or higher QoS Level. Conversely, in this study it is showed that former allocation strategy may lead to suboptimal solutions depending upon penalty cost policy to charge degradation in QoS requirements. We model a cost minimization problem which includes three cost components namely capacity acquisition, opportunity and penalty due to loss in QoS

Bank loans non-linear structure of pricing: empirical evidence from sovereign debts

The paper suggests an innovative contribution to the investigation of banking liabilities pricing contracted by sovereign agents. To address fundamental issues of banking, the study focuses on the determinants of the up-front fees (the up-front fee is a charge paid out at the signature of the loan arrangement). The investigation is based on a uniquely extensive sample of bank loans contracted or guaranteed by 58 less-developed countries sovereigns in the period from 1983 to 1997. The well detailed reports allow for the calculation of the equivalent yearly margin on the utilization period for all individual loan. The main findings suggest a significant impact of the renegotiation and agency costs on front-end borrowing payments. Unlike the sole interest spread, the all-in interest margin better takes account of these costs. The model estimates however suggest the non-linear pricing is hardly associated with an exogenous split-up intended by the borrower and his banker to cover up information. Instead the up-front payment is a liquidity transfer as described by Gorton and Kahn (2000) to compensate for renegotiation and monitoring costs. The second interesting result is that banks demand payment for all types of sovereign risk in an identical manner public debt holders do. The difference is that, unlike bond holders, bankers have the possibility to charge an up-front fee to compensate for renegotiation costs. Hence, beyond the information related issues, the higher complexity of the pricing design makes bank loan optimal for lenders on sovereign capital markets, especially relative to public debt, thus motivating for their presence. The paper contributes to the expanding literature on loan syndication and banking related issues. The study also has relevance for the investigation of the developing countries debt pricing

Opportunistic Third-Party Backhaul for Cellular Wireless Networks

With high capacity air interfaces and large numbers of small cells, backhaul -- the wired connectivity to base stations -- is increasingly becoming the cost driver in cellular wireless networks. One reason for the high cost of backhaul is that capacity is often purchased on leased lines with guaranteed rates provisioned to peak loads. In this paper, we present an alternate \emph{opportunistic backhaul} model where third parties provide base stations and backhaul connections and lease out excess capacity in their networks to the cellular provider when available, presumably at significantly lower costs than guaranteed connections. We describe a scalable architecture for such deployments using open access femtocells, which are small plug-and-play base stations that operate in the carrier's spectrum but can connect directly into the third party provider's wired network. Within the proposed architecture, we present a general user association optimization algorithm that enables the cellular provider to dynamically determine which mobiles should be assigned to the third-party femtocells based on the traffic demands, interference and channel conditions and third-party access pricing. Although the optimization is non-convex, the algorithm uses a computationally efficient method for finding approximate solutions via dual decomposition. Simulations of the deployment model based on actual base station locations are presented that show that large capacity gains are achievable if adoption of third-party, open access femtocells can reach even a small fraction of the current market penetration of WiFi access points.Comment: 9 pages, 6 figure