Mixed Strategies in Discriminatory Divisible-good Auctions
AbstractAuthor: Edward J. Anderson, Pär Holmberg and Andrew B. Philpott Keywords: Pay-as-bid Auction; Divisible Good Auction; Mixed Strategy Equilibria; Wholesale Electricity Markets Pages: 71 Published: November 24, 2009 JEL-codes: D43; D44; C72 Download Wp814.pdf (756 kB) Abstract Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the concept of offer distribution function to analyze randomized offer curves, and characterize mixed-strategy Nash equilibria for pay-as-bid auctions where demand is uncertain and costs are common knowledge; a setting for which pure-strategy supply function equilibria typically do not exist. We generalize previous results on mixtures over horizontal offers as in Bertrand-Edgeworth games, but more importantly we characterize novel mixtures over partly increasing supply functions.
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Bibliographic InfoPaper provided by Research Institute of Industrial Economics in its series Working Paper Series with number 814.
Length: 71 pages
Date of creation: 24 Nov 2009
Date of revision:
Publication status: Published as Anderson, Edward J., Pär Holmberg and Andrew B. Philpott, 'Mixed Strategies in Discriminatory Divisible-good Auctions' in Rand Journal of Economics, 2013, pages 1-32.
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Pay-as-bid Auction; Divisible Good Auction; Mixed Strategy Equilibria; Wholesale Electricity Markets;
Other versions of this item:
- Edward J. Anderson & Pär Holmberg & Andrew B. Philpott, 2013. "Mixed strategies in discriminatory divisible-good auctions," RAND Journal of Economics, RAND Corporation, vol. 44(1), pages 1-32, 03.
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-11 (All new papers)
- NEP-GTH-2009-12-11 (Game Theory)
- NEP-MIC-2009-12-11 (Microeconomics)
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- Holmberg, P. & Lazarczyk, E., 2012.
"Congestion management in electricity networks: Nodal, zonal and discriminatory pricing,"
Cambridge Working Papers in Economics
1219, Faculty of Economics, University of Cambridge.
- Holmberg, Pär & Lazarczyk, Ewa, 2012. "Congestion Management in Electricity Networks: Nodal, Zonal and Discriminatory Pricing," Working Paper Series 915, Research Institute of Industrial Economics.
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