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Sequential Auctions with Multi-Unit Demand: Theory, Experiments and Simulations

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  • Claude Montmarquette

    ()

  • Jacques Robert

    ()

Abstract

This paper presents the theory of sequential auctions when participants desire more than one unit. The theoretical predictions are compared to experimental data. We estimate structural models which presume that participants' bids are drawn from some stochastic processes. The observed behavior depends highly on the theoretical bid, however some variance in participant bids remains unexplained. The analysis of the model and of the experimental data is completed by some simulations. While the theoretical model predicts increasing prices, on average both the data and the winning bids generated by our structural models exhibit declining prices. Ce travail concerne la théorie des enchères séquentielles où les participants peuvent acheter plusieurs unités d'un bien homogène. Les prédictions théoriques des modèles sont comparées à des données expérimentales. Nous estimons des modèles structuraux qui supposent que les mises des participants sont tirées d'un processus stochastique. Le comportement observé dépend largement de la mise théorique, bien que la variance des mises demeure inexpliquée. L'analyse du modèle et des données expérimentales est complétée par des simulations. Les mises gagnantes issues des modèles structuraux montrent des prix décroissants, ce qui est contraire à la prédiction du modèle théorique.

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 99s-46.

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Date of creation: 01 Nov 1999
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Handle: RePEc:cir:cirwor:99s-46

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Keywords: Sequential auctions; multi-unit demands; econometric analysis of experimental data; simulations; Enchères séquentielles multi-unitaires; données expérimentales; simulations; modèles économétriques;

References

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  1. Avery, Christopher, 1998. "Strategic Jump Bidding in English Auctions," Review of Economic Studies, Wiley Blackwell, vol. 65(2), pages 185-210, April.
  2. McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
  3. Evans, Dorla A, 1997. "The Role of Markets in Reducing Expected Utility Violations," Journal of Political Economy, University of Chicago Press, vol. 105(3), pages 622-36, June.
  4. Chakravorti, Bhaskar, et al, 1995. "Auctioning the Airwaves: The Contest for Broadband PCS Spectrum," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 4(2), pages 345-73, Summer.
  5. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June.
  6. GINSBURGH, Victor, . "Absentee bidders and the declining price anomaly in wine auctions," CORE Discussion Papers RP -1364, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Alsemgeest, P. & Noussair, C. & Olson, M., 1995. "Experimental Comparisons of Auctions Under Single and Multi Unit Demand," Purdue University Economics Working Papers 1078, Purdue University, Department of Economics.
  8. Stéphanie Vincent & Olivier Chanel, 1998. "La décroissance des prix au cours d'enchères séquentielles : sources et mesures," Économie et Prévision, Programme National Persée, vol. 132(1), pages 139-157.
  9. Robert J. Weber, 1981. "Multiple-Object Auctions," Discussion Papers 496, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  10. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February.
  11. Victor Ginsburgh & Pierre-Michel Menger, 1996. "Economics of the Arts: Selected essays," ULB Institutional Repository 2013/152420, ULB -- Universite Libre de Bruxelles.
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