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

A Model of Vertical Oligopolistic Competition

This paper develops a model of successive oligopolies with endogenous market entry, allowing for varying degrees of product differentiation and entry costs in both markets. Our analysis shows that the downstream conditions dominate the overall profitability of the two-tier structure while the upstream conditions mainly affect the distribution of profits. We compare the welfare effects of upstream versus downstream deregulation policies and show that the impact of deregulation may be overvalued when ignoring feedback effects from the other market. Furthermore, we analyze how different forms of vertical restraints influence the endogenous market structure and show when they are welfare enhancing

Shallow Flaws Under Biaxial Loading Conditions, Part II: Application of a Weibull Stress Analysis of the Cruciform Bend Specimen Using a Hydrostatic Stress Criterion

Cruciform beam fracture mechanics specimensl have been developed in the Heavy Section Steel Technology (HSST) Program at Oak Ridge National Laboratory (ORNL) to introduce a prototypic, far- field, out-of-plane biaxird bending stress component in the test section that approximates the nonlinear biaxial stresses resulting from pressurized-thernxd-shock or pressure-temperature loading of a nuclear reactor pressure vessel (RPV). Matrices of cruciform beam tests were developed to investigate and quantify the effects of temperature, biaxial loading, and specimen size on fracture initiation toughness of two-dimensional (constant depth), shtdlow, surface flaws. Tests were conducted under biaxial load ratios ranging from uniaxial to equibiaxial. These tests demonstrated that biaxial loading can have a pronounced effect on shallow-flaw fracture toughness in the lower transition temperature region for RPV materials. Two and three- parameter Weibull models have been calibrated using a new scheme (developed at the University of Illinois) that maps toughness data from test specimens with distinctly different levels of crack-tip constraint to a small scale yielding (SSY) Weibull stress space. These models, using the new hydrostatic stress criterion in place of the more commonly used maximum principal stress in the kernel of the OW integral definition, have been shown to correlate the experimentally observed biaxiaI effect in cruciform specimens, thereby providing a scaling mechanism between uniaxial and biaxial loading states

Biaxial loading effects on fracture toughness of reactor pressure vessel steel

The preliminary phases of a program to develop and evaluate fracture methodologies for assessing crack-tip constraint effects on fracture toughness of reactor pressure vessel (RPV) steels have been completed by the Heavy-Section Steel Technology (HSST) Program. Objectives were to investigate effect of biaxial loading on fracture toughness, quantify this effect through existing stress-based, dual-parameter, fracture-toughness correlations, or propose and verify alternate correlations. A cruciform beam specimen with 2-D, shallow, through-thickness flaw and a special loading fixture was designed and fabricated. Tests were performed using biaxial loading ratios of 0:1 (uniaxial), 0.6:1, and 1:1 (equi-biaxial). Critical fracture-toughness values were calculated for each test. Biaxial loading of 0.6:1 resulted in a reduction in the lower bound fracture toughness of {approximately}12% as compared to that from the uniaxial tests. The biaxial loading of 1:1 yielded two subsets of toughness values; one agreed well with the uniaxial data, while one was reduced by {approximately}43% when compared to the uniaxial data. Results were evaluated using J-Q theory and Dodds-Anderson (D-A) micromechanical scaling model. The D-A model predicted no biaxial effect, while the J-Q method gave inconclusive results. When applied to the 1:1 biaxial data, these constraint methodologies failed to predict the observed reduction in fracture toughness obtained in one experiment. A strain-based constraint methodology that considers the relationship between applied biaxial load, the plastic zone width in the crack plane, and fracture toughness was formulated and applied successfully to the data. Evaluation of this dual-parameter strain-based model led to the conclusion that it has the capability of representing fracture behavior of RPV steels in the transition region, including the effects of out-of-plane loading on fracture toughness. This report is designated as HSST Report No. 150

License prices for financially constrained firms

It is often alleged that high auction prices inhibit service deployment. We investigate this claim under the extreme case of financially constrained bidders. If demand is just slightly elastic, auctions maximize consumer surplus if consumer surplus is a convex function of quantity (a common assumption), or if consumer surplus is concave and the proportion of expenditure spent on deployment is greater than one over the elasticity of demand. The latter condition appears to be true for most of the large telecom auctions in the US and Europe. Thus, even if high auction prices inhibit service deployment, auctions appear to be optimal from the consumers’ point of view

Fracture assessment of HSST Plate 14 shallow-flaw cruciform bend specimens tested under biaxial loading conditions

A technology to determine shallow-flaw fracture toughness of reactor pressure vessel (RPV) steels is being developed for application to the safety assessment of RPVs containing postulated shallow surface flaws. Matrices of cruciform beam tests were developed to investigate and quantify the effects of temperature, biaxial loading, and specimen size on fracture initiation toughness of two-dimensional (constant depth), shallow, surface flaws. The cruciform beam specimens were developed at Oak Ridge National Laboratory (ORNL) to introduce a far-field, out-of-plane biaxial stress component in the test section that approximates the nonlinear stresses resulting from pressurized-thermal-shock or pressure-temperature loading of an RPV. Tests were conducted under biaxial load ratios ranging from uniaxial to equibiaxial. These tests demonstrated that biaxial loading can have a pronounced effect on shallow-flaw fracture toughness in the lower transition temperature region for an RPV material. The cruciform fracture toughness data were used to evaluate fracture methodologies for predicting the observed effects of biaxial loading on shallow-flaw fracture toughness. Initial emphasis was placed on assessment of stress-based methodologies, namely, the J-Q formulation, the Dodds-Anderson toughness scaling model, and the Weibull approach. Applications of these methodologies based on the hydrostatic stress fracture criterion indicated an effect of loading-biaxiality on fracture toughness; the conventional maximum principal stress criterion indicated no effect. A three-parameter Weibull model based on the hydrostatic stress criterion is shown to correlate the experimentally observed biaxial effect on cleavage fracture toughness by providing a scaling mechanism between uniaxial and biaxial loading states

Towards a synthesized critique of neoliberal biodiversity conservation

During the last three decades, the arena of biodiversity conservation has largely aligned itself with the globally dominant political ideology of neoliberalism and associated governmentalities. Schemes such as payments for ecological services are promoted to reach the multiple ‘wins’ so desired: improved biodiversity conservation, economic development, (international) cooperation and poverty alleviation, amongst others. While critical scholarship with respect to understanding the linkages between neoliberalism, capitalism and the environment has a long tradition, a synthesized critique of neoliberal conservation - the ideology (and related practices) that the salvation of nature requires capitalist expansion - remains lacking. This paper aims to provide such a critique. We commence with the assertion that there has been a conflation between ‘economics’ and neoliberal ideology in conservation thinking and implementation. As a result, we argue, it becomes easier to distinguish the main problems that neoliberal win-win models pose for biodiversity conservation. These are framed around three points: the stimulation of contradictions; appropriation and misrepresentation and the disciplining of dissent. Inspired by Bruno Latour’s recent ‘compositionist manifesto’, the conclusion outlines some ideas for moving beyond critique

Does \u2018bigger\u2019mean \u2018better\u2019? Pitfalls and shortcuts associated with big data for social research

\u2018Big data is here to stay.\u2019 This key statement has a double value: is an assumption as well as the reason why a theoretical reflection is needed. Furthermore, Big data is something that is gaining visibility and success in social sciences even, overcoming the division between humanities and computer sciences. In this contribution some considerations on the presence and the certain persistence of Big data as a socio-technical assemblage will be outlined. Therefore, the intriguing opportunities for social research linked to such interaction between practices and technological development will be developed. However, despite a promissory rhetoric, fostered by several scholars since the birth of Big data as a labelled concept, some risks are just around the corner. The claims for the methodological power of bigger and bigger datasets, as well as increasing speed in analysis and data collection, are creating a real hype in social research. Peculiar attention is needed in order to avoid some pitfalls. These risks will be analysed for what concerns the validity of the research results \u2018obtained through Big data. After a pars distruens, this contribution will conclude with a pars construens; assuming the previous critiques, a mixed methods research design approach will be described as a general proposal with the objective of stimulating a debate on the integration of Big data in complex research projecting

Social Interactions vs Revisions, What is important for Promotion in Wikipedia?

In epistemic community, people are said to be selected on their knowledge contribution to the project (articles, codes, etc.) However, the socialization process is an important factor for inclusion, sustainability as a contributor, and promotion. Finally, what does matter to be promoted? being a good contributor? being a good animator? knowing the boss? We explore this question looking at the process of election for administrator in the English Wikipedia community. We modeled the candidates according to their revisions and/or social attributes. These attributes are used to construct a predictive model of promotion success, based on the candidates's past behavior, computed thanks to a random forest algorithm. Our model combining knowledge contribution variables and social networking variables successfully explain 78% of the results which is better than the former models. It also helps to refine the criterion for election. If the number of knowledge contributions is the most important element, social interactions come close second to explain the election. But being connected with the future peers (the admins) can make the difference between success and failure, making this epistemic community a very social community too