Douyin’s live stream embodies a dynamic blend of content creation and real-time interaction, garnering immense popularity. This feature has become a powerhouse for businesses and influencers, offering a unique avenue to engage audiences in today's digital landscape. Meanwhile, online ads are an omnipresent aspect of our digital experience, greeting us when we open webpages or launch apps. Major tech players such as Google, Facebook, and Amazon heavily rely on these ads as their primary revenue source. While live streams and online ads may seem rather distinct at first glance, there is, in fact, a common thread that binds them together. In this lecture, we will delve into a fascinating world behind live streaming and online ads, unveiling the time-tested classic price discovery mechanism that is crucial to their functionality.