Repeated Auctions with Budgets in Ad Exchanges: Approximations and Design
研究了广告交易平台中广告商在预算约束下参与重复拍卖的竞争格局，提出了流体平均场均衡（FMFE）来近似理性行为，并用于指导发布商的关键拍卖设计决策（如保留价设定），发现忽略预算会导致显著利润损失。
Ad exchanges are emerging Internet markets where advertisers may purchase display ad placements, in real time and based on specific viewer information, directly from publishers via a simple auction mechanism. Advertisers join these markets with a prespecified budget and participate in multiple second-price auctions over the length of a campaign. This paper studies the competitive landscape that arises in ad exchanges and the implications for publishers’ decisions. The presence of budgets introduces dynamic interactions among advertisers that need to be taken into account when attempting to characterize the bidding landscape or the impact of changes in the auction design. To this end, we introduce the notion of a fluid mean-field equilibrium (FMFE) that is behaviorally appealing and computationally tractable, and in some important cases, it yields a closed-form characterization. We establish that an FMFE approximates well the rational behavior of advertisers in these markets. We then show how this framework may be used to provide sharp prescriptions for key auction design decisions that publishers face in these markets. In particular, we show that ignoring budgets, a common practice in this literature, can result in significant profit losses for the publisher when setting the reserve price. This paper was accepted by Dimitris Bertsimas, optimization.