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cs.CE2022
Convexity and Duality in Optimum Real-time Bidding and Related Problems
Ryan J. Kinnear, Ravi R. Mazumdar, Peter Marbach
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upo…
q-fin.TR2022
Do price trajectory data increase the efficiency of market impact estimation?
Fengpei Li, Vitalii Ihnatiuk, Ryan Kinnear +2
Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data fr…