Essays in the Theory and Estimation of Auction Models PDF Download
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Author: Gopal Das Varma
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Languages : en
Pages :
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This dissertation consists of 4 essays. The first essay analyzes equilibrium bidding behavior in a three bidder open ascending-bid auction with identity dependent externalities. It first proves the existence of a unique symmetric equilibrium and then shows that for sufficiently large externalities, the open auction yields strictly higher expected revenues compared to a sealed bid auction. The open auction is also shown to be more efficient than the sealed bid auction.
Author: Gopal Das Varma
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This dissertation consists of 4 essays. The first essay analyzes equilibrium bidding behavior in a three bidder open ascending-bid auction with identity dependent externalities. It first proves the existence of a unique symmetric equilibrium and then shows that for sufficiently large externalities, the open auction yields strictly higher expected revenues compared to a sealed bid auction. The open auction is also shown to be more efficient than the sealed bid auction.
Author: Leonardo Rezende
Publisher:
ISBN:
Category :
Languages : en
Pages : 308
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Author: Jorge Francisco Balat
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Category :
Languages : en
Pages : 288
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Author: Bin Yu
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Category :
Languages : en
Pages : 144
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This dissertation addresses the empirical analysis of procurements based on the auction theory, which is known as the structural-form analysis of procurement auctions.
Author: Paul Milgrom
Publisher: Cambridge University Press
ISBN: 1139449168
Category : Business & Economics
Languages : en
Pages : 378
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This book provides a comprehensive introduction to modern auction theory and its important new applications. It is written by a leading economic theorist whose suggestions guided the creation of the new spectrum auction designs. Aimed at graduate students and professionals in economics, the book gives the most up-to-date treatments of both traditional theories of 'optimal auctions' and newer theories of multi-unit auctions and package auctions, and shows by example how these theories are used. The analysis explores the limitations of prominent older designs, such as the Vickrey auction design, and evaluates the practical responses to those limitations. It explores the tension between the traditional theory of auctions with a fixed set of bidders, in which the seller seeks to squeeze as much revenue as possible from the fixed set, and the theory of auctions with endogenous entry, in which bidder profits must be respected to encourage participation.
Author: Xiaoshu Xu
Publisher:
ISBN:
Category :
Languages : en
Pages : 63
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Abstract: My dissertation consists of three chapters in theoretical auction analysis. The first chapter considers optimal sequential auctions with new bidders arriving in each period. The second chapter examines how resale affects bidding strategies and auction outcomes in an auction environment with costly entry. The third chapter investigates how resale affects bidding strategies and auction outcomes in a sequential auction setting where the values of items auctioned in different periods exhibit synergies. The first chapter gives a full characterization of the optimal sequential second-price (or ascending English) auctions with sequentially arriving bidders. There are n bidders in the first period and m new bidders arrive in the second period. Based on the auctioneer's commitment power, we study two cases: full commitment and noncommitment. In both cases, we establish the existence of a symmetric equilibrium characterized by a threshold strategy - -a bidder does not bid in the first auction when her valuation is below this threshold and bids according to an increasing function otherwise. In the noncommitment case, the auctioneer chooses an optimal reserve price to maximize the expected revenue from the second period; thus her decision of whether to include previous bidders as potential buyers is endogenously determined by the reserve price in the first auction. This might create multiple equilibria depending on the beliefs of the auctioneer and the bidders. We apply a fairly intuitive rule to establish the uniqueness. We also extend our analysis to allow for opportunities for resale, where the winner in the first auction can opt to resell the item to new bidders. The second chapter, joint with Dan Levin and Lixin Ye, studies how resale affects auctions with costly entry in a model where an arbitrary number of bidders possess two-dimensional private information signals: entry costs and valuations. We establish the existence of symmetric entry equilibrium and identify sufficient conditions under which the equilibrium is unique. Our analysis suggests that the opportunity of resale induces motivation for both speculative entry and bargain hunting abstentions. By following the uniform distribution for numerical analysis, our results suggest that while the entry probability and efficiency are always higher when resale is allowed, the auctioneer's expected revenue is lower when resale is allowed for almost all parameter values. We also compare this model to one where bidders may follow "strong" or "weak" distributions in terms of valuations. The third chapter, joint with Dan Levin and Lixin Ye, studies a sequential second-price auction of two objects with two bidders, where the winner of the package obtains a synergy from the second object. If reselling after the two auctions occurs, it proceeds as either monopoly or monopsony take-it-or-leave-it offer. I find that a post-auction resale has a significant impact on bidding strategies in the auctions. When seller makes a take-it-or-leave-it offer in resale, there is no equilibrium where at least one bidder reveals her type with positive probability. When buyer makes the offer instead, there exist symmetric increasing equilibrium strategies for both items. While allowing resale always improves efficiency, I demonstrate that the effect of resale is ambiguous on expected revenue as Ill as the probability of exposure. I also extend this model to allow for three bidders and provide the equilibrium analysis.
Author: Vivek Bhattacharya
Publisher:
ISBN:
Category :
Languages : en
Pages : 184
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This thesis consists of three chapters broadly in industrial organization, with a focus on contests and auctions, and game theory. Chapter 1 develops a new model of multistage R&D procurement contests, in which firms conduct research over a number of stages to develop an innovative product and then supply it to a procurer. I show that the primitives of this model-the cost of research, the distributions of project values and delivery costs, and the share of the profits captured by the firms-are non parametrically identified given data on R&D expenditures and procurement contract amounts. I then develop a tractable estimation procedure and apply it to data from the Small Business Innovation Research program in the Department of Defense. I find that within a particular contests, there is low variation in the values of the proposed projects, which are drawn early in the process, but considerably larger variation in the delivery costs, which are drawn later. The DOD provides high-powered incentives, sharing about 75% of the surplus with the firms. I then suggest simple design changes to improve social surplus but find that many of these socially beneficial design changes would in fact reduce DOD profits. Chapter 2, which is joint with James Roberts and Andrew Sweeting, studies the benefits of regulating entry into procurement auctions, relative to standard auctions in which bidders are allowed to enter and bid freely. Specifically, we study the relationship between auction outcomes and the precision of information bidders have about their costs before entering the bidding stage of the contest. We show that the relative performance of a standard auction with free entry and an "entry rights auction," which restricts participation in the bidding phase, depends non monotonically on the information precision. We finally estimate the model on a dataset of auctions for bridge-building contracts let by the Oklahoma and Texas Departments of Transportation. Entry is estimated to be moderately selective, and the counterfactual implication is that an entry rights auction would significantly increase social efficiency and reduce procurement costs. Chapter 3, which is joint with Lucas Manuelli and Ludwig Straub, proposes a model of "signal distortion" in a game with imperfect public monitoring. We construct a framework in which each player has the chance to distort the true public signal, and each player is uncertain about the distortion technologies available to his opponent. Continuation payoffs are dependent on the distorted signal. Our main result is that when players evaluate strategies according to their worst case guarantees-i.e., are ambiguity-averse over certain distributions in the environment-players behave as if the continuation payoffs that incentivize them in the stage game are perfectly aligned with their opponents'. We then provide two examples showing counterintuitive implications of this result: (i) signal structures that allow players to identify deviators can be harmful in enforcing a strategy profile, and (ii) the presence of signal distortion can help sustain cooperation when it is impossible in standard settings. We then extend our equilibrium concept to a repeated game, show that it is a natural generalization of strongly symmetric equilibria, and then prove an anti-folk theorem that payoffs are in general bounded away from efficiency.
Author: Youxin Hu
Publisher:
ISBN:
Category : Consumer behavior
Languages : en
Pages : 104
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Abstract: Standard literature on auctions considers isolated markets with bidders that are ex ante identical and independent. My dissertation research considers the behavior of bidders and sellers when they take into account other auctions and bidders' relative roles outside of a given auction. I further extend this investigation through classroom experiments. In the first chapter, I study bidders' optimal strategies under negative externalities (i.e., the auction may incur losses (instead of zero payoffs) to the losing bidders). I construct a model of auction with three bidders. One bidder is special in the sense that if he wins, both of the other bidders will incur a loss; the other two bidders are regular in the sense that as in a traditional auction, if one of them wins, the losing bidders will receive zero payoffs. Intuitively one expects regular bidders to bid more aggressively than normal to avoid the loss. However, I find that in an ascending clock auction, in equilibrium regular bidders bid less aggressively and quit before reaching their private values. This occurs because a regular bidder may have to bid above his value in order to win against the special bidder and thus risks negative profit by bidding aggressively. Since both regular bidders avoid the externality if either wins, there is a free riding incentive. Despite free riding, in most cases the clock auction is ex post efficient However, in first-price sealed bid auctions free riding and aggressive bidding incentives are simultaneous, so ex post efficiency is less frequent. I also conducted classroom experiments which suggest that bidders more often exhibit aggressive bidding rather than free riding in an ascending clock auction; furthermore, I show that in first-price sealed bid auctions, regular bidders bid more aggressively than the special bidder, indicating aggressive bidding incentives dominate free riding incentives. In the second chapter, I construct an auction model in which both number of bidders and sellers' reserve prices are endogenously determined, and estimate the value distribution among eBay bidders. I assume each bidder has a choice of auctions with different reserve prices and other auction specific factors (seller's reputation, shipping cost, auction duration, etc.). I show that in equilibrium, 1) each bidder must be indifferent to entry in any auction, and 2) each seller's reserve price must maximize expected revenue given auction structure and bidder entry behavior, which jointly determines the equilibrium number of bidders in each auction. Few theoretical works have been done to find the positive optimal reserve price when the number of bidder is endogenous. And previous empirical work usually uses observed bids to estimate bidders' value distribution and take sellers' choice (e.g., reserve prices) as exogenous. Based on the equilibrium relationship described above, my model allows estimation of bidders' value distribution not only from observed bids, but also from the number of bidders and reserve prices. To apply this structural estimation method, I use eBay digital camera auction data to estimate bidders' value distribution from bid observations and reserve prices.
Author: Seungwon (Eugene) Jeong
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Category :
Languages : en
Pages :
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This dissertation consists of three essays on market design and auction theory. In Chapter 1, I introduce new multidimensional auction mechanisms. In many auctions, because of externalities, each bidder has a different maximum willingness to pay in order to beat each specific competitor, which causes the following new problem. When there are three bidders, two bidders might compete against each other unnecessarily and have worse payoffs than if they had lost to the third bidder, i.e., the two bidders have "group winner regret, " which can also lead to inefficiency. While no one-dimensional-bid mechanism is efficient, the Vickrey-Clarke-Groves (VCG) may require losers to pay. This paper introduces a novel mechanism, the "multidimensional second-price" (MSP) auction (and its open ascending version), and characterizes it. MSP is free of a loser's payment, pairwise stable, and has good incentive properties, including no group winner regret. Moreover, the winner cannot win at any different price by any misreport, and a loser cannot be better off winning by any misreport. MSP is strategyproof for a bidder without externalities imposed by others, and it reduces to the second-price auction when there are no externalities. Simulations suggest that MSP outperforms the second-price auction in terms of both revenue and efficiency. In Chapter 2, I study properties of VCG when externalities exist, and introduce shill bidding strategies that weakly dominate truthful bidding. When externalities exist, VCG is efficient, incentive compatible, and individually rational. However, as occurs in package auctions without externalities, VCG outcomes may not be in the core. Moreover, VCG is not pairwise stable. Due to externalities, several additional problems occur. VCG may require losing bidders to pay, which might be undesirable. Also, it might be budget infeasible, and the auctioneer might need to pay the winner a subsidy. The subsidy problem can occur even when all bids are positive. Furthermore, unlike package auctions without externalities, there exists a shill bidding strategy that weakly dominates truthful bidding. In addition, when this shill bidding is used, there is no Nash equilibrium. Each bidder is better off using an infinite number of shills, which eventually makes VCG undefined. In Chapter 3, I study properties of VCG in the advertising auction setting. Even though VCG is incentive compatible (IC) in the advertising auction setting, the actual implementation of VCG in practice is not VCG per se. The main reason is that the price needs to be determined when the billing event happens at the same time as the estimation of click-through rate (CTR) or position discount (PD) is occurring. After all, advertising auctions charge the estimate of externalities. However, even in this "estimated" VCG (eVCG), CTR miscalibration does not ruin IC. Even when PD miscalibration exists, IC still holds with "perfect competition." Regarding efficiency and revenue, both CTR and PD miscalibrations matter. Interestingly, however, the revenue of the auctioneer does not necessarily decrease by underbidding.
Author: Rao Fu
Publisher:
ISBN:
Category :
Languages : en
Pages : 194
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In this dissertation, I explore bidders' behavior in multiple auctions which are conducted sequentially or simultaneously. The first and the second chapters examine buyers' bidding behaviors in an environment of multiple simultaneous auctions and show that the wildly-used assumption of proxy bidding is inappropriate in the multiple auction setting. The first chapter proposes two models which try to describe online auction platforms. One model has a fixed ending time and the other does not. I show that incremental bidding strategy can arise out of equilibrium and weakly dominate the proxy bidding strategy. Late bidding is also discussed. I use the data I collect from eBay to test these theoretical predictions in the second chapter. The estimation results basically support the theory part. Incremental bidders who switch among different auctions are more likely to win and have higher payoffs than proxy bidders. The third essay studies the procurement auctions in the Texas school milk market. I define score functions to map the bids from multiple dimensions to one dimension and analyze the factors that may affect the bids of school milk suppliers. After considering the impacts of these factors including backlogs and cost synergies, I can still find some evidences for existence of collusion among the bidders.
