Time series modeling of market price in real-time bidding

Du, M. (author)

Hammerschmidt, C. (author)

Varisteas, G. (author)

State, R. (author)

Zhang, Z. (author)

(creator_code:org_t)

ESANN, 2019
2019
English.
In: ESANN 2019 - Proceedings, 27th European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning. - : ESANN. ; , s. 643-648

Abstract Subject headings

Real-Time-Bidding (RTB) is one of the most popular online advertisement selling mechanisms. Modeling the highly dynamic bidding environment is crucial for making good bids. Market prices of auctions fluctuate heavily within short time spans. State-of-the-art methods neglect the temporal dependencies of bidders’ behaviors. In this paper, the bid requests are aggregated by time and the mean market price per aggregated segment is modeled as a time series. We show that the Long Short Term Memory (LSTM) neural network outperforms the state-of-the-art univariate time series models by capturing the nonlinear temporal dependencies in the market price. We further improve the predicting performance by adding a summary of exogenous features from bid requests.

TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Annan elektroteknik och elektronik (hsv//swe)
ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Other Electrical Engineering, Electronic Engineering, Information Engineering (hsv//eng)
SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Datorsystem (hsv//swe)
ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Computer Systems (hsv//eng)

By the author/editor: Du, M.; Hammerschmidt, C ...; Varisteas, G.; State, R.; Brorsson, Mats, ...; Zhang, Z.

About the subject

ENGINEERING AND TECHNOLOGY: ENGINEERING AND ...; and Electrical Engin ...; and Other Electrical ...

ENGINEERING AND TECHNOLOGY: ENGINEERING AND ...; and Electrical Engin ...; and Computer Systems

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