http://hdl.handle.net/2451/14094 2026-04-10T03:55:19Z 2026-04-10T03:55:19Z Perlich, C Dalessandro, B Stitelman, O Raeder, T Provost, F http://hdl.handle.net/2451/31708 2013-06-23T11:05:39Z 2013-02-19T15:41:19Z

Title: Machine learning for targeted display advertising: Transfer learning in action Authors: Perlich, C; Dalessandro, B; Stitelman, O; Raeder, T; Provost, F Abstract: This paper presents a detailed discussion of problem formulation and data representation issues in the design, deployment, and operation of a massive-scale machine learning system for targeted display advertising. Notably, the machine learning system itself is deployed and has been in continual use for years, for thousands of advertising campaigns (in contrast to simply having the models from the system be deployed). In this application, acquiring sufficient data for training from the ideal sampling distribution is prohibitively expensive. Instead, data are drawn from surrogate domains and learning tasks, and then transferred to the target task. We present the design of this multistage transfer learning system, highlighting the problem formulation aspects. We then present a detailed experimental evaluation, showing that the different transfer stages indeed each add value. We next present production results across a variety of advertising clients from a variety of industries, illustrating the performance of the system in use. We close the paper with a collection of lessons learned from the work over half a decade on this complex, deployed, and broadly used machine learning system.

2013-02-19T15:41:19Z Katz, Barbara Owen, Joel http://hdl.handle.net/2451/31697 2013-06-23T11:03:42Z 2013-01-28T15:21:28Z

Title: Activism's Impact on Diversified Investors and the Market Authors: Katz, Barbara; Owen, Joel Abstract: We model activism as it affects the future distribution of prices in a portfolio context with risk-averse expected utility of end-of-period wealth maximizing investors. We characterize activism as affecting the mean, the variance, and/or the covariance of the target firm’s price with the prices of the other firms. This characterization allows us to investigate conditions under which the activist would choose to become an activist and, subsequently, to derive the sequence of equilibria that begins with the surreptitious acquisition of shares by the activist and ends at the moment of the activist’s divestiture of these shares. We investigate the impact of activism not only on the target firm’s price over time and the activist’s profit, but also on the redistribution of portfolio holdings of all market participants that this activism induces. We propose a method to evaluate activism and show that, while activism may augment the share price of the target firm, there exist conditions under which activism would not necessarily increase the value of the market. Furthermore, we show that the pro.t of the activist is at the expense of the group of other investors. We compare our results to recent empirical findings.

2013-01-28T15:21:28Z Cao, Wen Hurvich, Clifford Soulier, Philippe http://hdl.handle.net/2451/31652 2013-06-23T11:44:37Z 2012-11-20T18:02:03Z

Title: Drift in Transcation-Level Asset Price Models Authors: Cao, Wen; Hurvich, Clifford; Soulier, Philippe Abstract: We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is assumed to arise from a nonzero mean in the efficient shock series. It follows that the drift is proportional to the driving point process itself, i.e. the cumulative number of transactions. This link reveals a mechanism by which properties of intertrade durations (such as heavy tails and long memory) can have a strong impact on properties of average returns, thereby potentially making it extremely difficult to determine growth rates. We focus on a basic univariate model for log price, coupled with general assumptions on durations that are satisfied by several existing flexible models, allowing for both long memory and heavy tails in durations. Under our pure-jump model, we obtain the limiting distribution for the suitably normalized log price. This limiting distribution need not be Gaussian, and may have either finite variance or infinite variance. We show that the drift can affect not only the limiting distribution for the normalized log price, but also the rate in the corresponding normalization. Therefore, the drift (or equivalently, the properties of durations) affects the rate of convergence of estimators of the growth rate, and can invalidate standard hypothesis tests for that growth rate. Our analysis also sheds some new light on two longstanding debates as to whether stock returns have long memory or infinite variance.

2012-11-20T18:02:03Z Kovtun, Vladimir Giloni, Avi Hurvich, Clifford http://hdl.handle.net/2451/31630 2013-07-02T06:49:44Z 2012-10-05T15:50:20Z

Title: Possible Sharing Arrangements in ARMA Supply Chains Authors: Kovtun, Vladimir; Giloni, Avi; Hurvich, Clifford Abstract: We introduce a class of new sharing arrangements in a multi-stage supply chain in which the retailer observes stationary autoregressive moving average demand with Gaussian white noise (shocks). Similar to previous research, we assume each supply chain player constructs its best linear forecast of the leadtime demand and uses it to determine the order quantity via a periodic review myopic order-up-to policy. We demonstrate how a typical supply chain player can create a sequence of partial information shocks (PIS) from its full information shocks FIS and share these with an adjacent upstream player. We go on to show how such a sharing arrangement may be benecial to the upstream player by characterizing the player's FIS in such a case. Hence, we study how a player can determine its available information under PIS sharing, and use this information to forecast leadtime demand. We characterize the value of FIS sharing for a typical supply chain player. Furthermore, we show conditions under which a player is able to form and share valuable PIS without (i) revealing its historic demand sequence or (ii) revealing its FIS sequence. We also provide a way of comparing various PIS sharing arrangements with each other and with conventional sharing arrangements involving demand sharing or FIS sharing. We show that demand propagates through a supply chain where any player may share nothing or a sequence of PIS shocks with an adjacent upstream player as quasi-ARMA in - quasi-ARMA out.

2012-10-05T15:50:20Z