The effects of statistically dependent values on equilibrium strategies of bilateral k-double auctions
AbstractThis paper describes how introducing statistical dependency among trader values changes the equilibrium bidding strategies in bilateral k-double auctions and uses the special case of affiliation to illustrate the range of equilibrium responses to a change in the value distribution. Consistent with standard intuition, a change from independent to strictly affiliated valuations can result in high-value buyers and low-value sellers bidding closer to their actual values while low-value buyers and high-value sellers distort their bids farther from their true values. However, there also exist equilibria for which either type of trader responds to a change in the distribution of values in the opposite direction. Whether a given trader bids more aggressively or less aggressively can also be non-monotonic with respect to the trader's value.
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Bibliographic InfoArticle provided by Elsevier in its journal Games and Economic Behavior.
Volume (Year): 72 (2011)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/inca/622836
Double auctions Statistically dependent valuations Affiliation;
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