Intra-Day Dynamics in Sequential Auctions: Theory and Estimation
AbstractA theoretical model of sequential first-price auctions where bidders are risk-averse and values are affiliated is developed. For constant risk-aversion utility functions and a particular specification of affiliation, closed-form solutions for the symmetric equilibrium of a sequence of k first-price auctions are obtained. The model is able to generate complex intra-day dynamics, in particular inverse U-shape series of winning bids that we have in our data set of eggplants auctions.
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Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 98.488.
Length: 29 pages
Date of creation: 1998
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- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
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- Tibor Neugebauer, 2005. "Bidding Strategies Of Sequential First Price Auctions Programmed By Experienced Bidders," Experimental 0503007, EconWPA.
- Tibor Neugebauer & Paul Pezanis-Christou, 2003.
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- Christine Zulehner, 1998. "Econometric Analysis of Cattle Auctions," CIG Working Papers FS IV 98-16, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
- Zulehner, Christine, 2009.
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Elsevier, vol. 27(1), pages 33-42, January.
- Walter Beckert, 2004. "Dynamic Monopolies with Stochastic Demand," Birkbeck Working Papers in Economics and Finance 0404, Birkbeck, Department of Economics, Mathematics & Statistics.
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