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
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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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Book Description
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: Seungwon (Eugene) Jeong
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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: Flavio M. Menezes
Publisher: OUP Oxford
ISBN: 0191534722
Category : Business & Economics
Languages : en
Pages : 194
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Book Description
Auction theory is now an important component of an economist's training. The techniques and insights gained from the study of auction theory provide a useful starting point for those who want to venture into the economics of information, mechanism design, and regulatory economics. This book provides a step-by-step, self-contained treatment of the theory of auctions. It allows students and readers with a calculus background to work through all the basic results, covering the basic independent-private-model; the effects of introducing correlation in valuations on equilibrium behaviour and the seller's expected revenue; mechanism design; and the theory of multi-object auctions.
Author: Vijay Krishna
Publisher: Academic Press
ISBN: 0080922937
Category : Business & Economics
Languages : en
Pages : 337
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Book Description
Auction Theory, Second Edition improves upon his 2002 bestseller with a new chapter on package and position auctions as well as end-of-chapter questions and chapter notes. Complete proofs and new material about collusion complement Krishna’s ability to reveal the basic facts of each theory in a style that is clear, concise, and easy to follow. With the addition of a solutions manual and other teaching aids, the 2e continues to serve as the doorway to relevant theory for most students doing empirical work on auctions. Focuses on key auction types and serves as the doorway to relevant theory for those doing empirical work on auctions New chapter on combinatorial auctions and new analyses of theory-informed applications New chapter-ending exercises and problems of varying difficulties support and reinforce key points
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Languages : en
Pages : 0
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This dissertation is a collection of three chapters on structural analysis of auctions. The first chapter studies nonparametric identification of the distribution of bidder valuations in auctions where valuations are independently and symmetrically distributed, the number of bidders follows a Poisson distribution, and the number is not known to the bidders. I consider both first and second-price sealed bid auctions. If the data set consists of all auctions, including auctions with no bids or only one bid, then I show that data on either the first or second highest bid is sufficient for the model to be identified. If the data set does not include auctions with no bids and only the highest bids are observed, then information on the number of bidders is also needed for identification. In the second chapter, I develop a method for identifying and estimating a dynamic model of auctions like eBay. The market is modeled as an infinite sequence of second-price, sealed bid auctions of a homogenous good. Bidders arrive randomly and, upon arrival, they enter a pool of potential bidders. The actual bidders in an auction are drawn randomly from the pool. Conditional on bidding, a bidder exits if she wins and returns to the pool if she loses. Then bidders in the pool exit with some probability each period. I define and solve for the oblivious equilibrium (Weintraub et al. (2008)). I prove the stochastic stability and the existence of an equilibrium. The equilibrium yields a closed form solution for the bid function in which bidders shade their bids by their continuation values. I demonstrate that the model is identified (modulo the discount factor) from the data of bidder identities and the second highest bid. Based on the identification result, an estimation procedure is developed. In the third chapter I apply the model to a data from a Japanese online auction website. The estimation results suggest that market dynamics are important. The estimate of the valuations obtained when each auction is treated independently is 23% smaller than the estimates obtained from the dynamic model.
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.
