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Incentive-Compatible Adjustments from the Anchor and Correlated Equilibrium / Ajustements depuis l’ancrage compatibles avec les incitations et équilibre corrélé

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  • Arnaud Dragicevic
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    Abstract

    In repeated-round auction mechanisms with endogenous market-clearing prices, i.e. when prices depend on submitted bids, the assumption of independent private values that underlines the property of incentive-compatibility is to be brought into question; even if these mechanisms provide active involvement and market learning. In its orthodox view, adaptive bidding behavior imperils incentive-compatibility. When agents operate in a correlated equilibrium, we show that neither the incentive-compatibility constraints nor the public signals issued from others’ bids are ignored. In order to maximize their expected payoffs, boundedly rational agents adjust from their anchor in the direction of the last posted price. They bid sincerely as long as the adjustment is made pursuant to the bounded memory weighting. En présence de mécanismes de marché répétés avec prix de compensation endogènes, c’est-à-dire lorsque les prix dépendent des offres soumises, l’hypothèse de l’indépendance des valeurs privées – sous-jacente à la compatibilité avec les incitations – est remise en question ; même si ce type de mécanismes fournit une participation active et un apprentissage du marché. Dans sa vision orthodoxe, un comportement marchand d’adaptation met en péril la compatibilité avec les incitations. Lorsque les enchérisseurs opèrent dans un équilibre corrélé, nous montrons que les contraintes de compatibilité avec les incitations de même que les signaux publics issus des autres offres sont prises en compte. De manière à maximiser leur profit espéré, les agents à rationalité limitée s’ajustent depuis leur ancrage dans le sens du dernier prix signalé. Ils licitent avec sincérité tant que l’ajustement s’effectue d’après la pondération mémorielle limitée.

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    Paper provided by CIRANO in its series CIRANO Working Papers with number 2010s-05.

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    Date of creation: 01 Jan 2010
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    Handle: RePEc:cir:cirwor:2010s-05

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    Keywords: auctions; incentive-compatibility; rank-dependence; reference point; heuristic; bounded rationality; correlated equilibriu; enchères; compatibilité avec les incitations; dépendance de rang; point de référence; heuristique; rationalité limitée; équilibre corrélé;

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