Michał Krawczyk () (Warsaw University, Faculty of Economic Sciences)
Abstract
I introduce a new approach to modeling aggregate bidding functions (demand functions) submitted by participants of share auctions, the one based on (scaled) normal cumulative distribution functions. I provide a simple model illustrating how normal cdf-shaped demand might arise. Then, using new data from the Polish Treasury securities auctions, I show first, that assumptions of the model underlying the normal cdf specification fit the stylized characteristics of the data set and, second, that this approach actually generates a slightly better fit than the traditional approximation by logistic function. I also relate the parameters of the fitted function to economic variables known prior to the auction. This method appears to be a useful tool for early detection of slumps in the performance of a particular auction design.
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Publisher Info
Article provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.
Find related papers by JEL classification: C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
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