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Dynamic Markets with Randomly Arriving Agents

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  • Said, Maher

Abstract

We develop a model of a dynamic market with randomly arriving participants. Both buyers and sellers arrive probabilistically over time. The valuation of each buyer for each object is independently distributed and private information to each buyer. Equilibrium prices are determined by a sequence of second-price auctions. We examine the manner in which equilibrium behavior and payoffs are influenced by both current market conditions and anticipated future dynamics.

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File URL: http://mpra.ub.uni-muenchen.de/11208/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9868.

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Date of creation: 05 Aug 2008
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Handle: RePEc:pra:mprapa:9868

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Keywords: Dynamic markets; Random arrivals; Endogenous option value; Sequential auctions; Stochastic equivalence;

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References

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  1. Andrzej Skrzypacz & William Fuchs, 2007. "Bargaining with Arrival of New Traders," 2007 Meeting Papers, Society for Economic Dynamics 186, Society for Economic Dynamics.
  2. Haile, Philip A., 2000. "Partial Pooling at the Reserve Price in Auctions with Resale Opportunities," Games and Economic Behavior, Elsevier, Elsevier, vol. 33(2), pages 231-248, November.
  3. Jehiel, Phillipe & Moldovanu, Benny, 1997. "Auctions with Downstream Interaction among Buyers," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 97-06, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  4. Satterthwaite, Mark & Shneyerov, Artyom, 2008. "Convergence to perfect competition of a dynamic matching and bargaining market with two-sided incomplete information and exogenous exit rate," Games and Economic Behavior, Elsevier, Elsevier, vol. 63(2), pages 435-467, July.
  5. Wolinsky, Asher, 1988. "Dynamic Markets with Competitive Bidding," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 55(1), pages 71-84, January.
  6. Sailer, Katharina, 2006. "Searching the eBay Marketplace," Discussion Papers in Economics, University of Munich, Department of Economics 1234, University of Munich, Department of Economics.
  7. Satterthwaite, Mark & Shneyerov, Art, 2004. "Dynamic Matching,Two-sided Incomplete Information, and Participation Costs: Existence and Convergence to Perfect Competition," Microeconomics.ca working papers, Vancouver School of Economics shneyerov-04-12-17-02-54-, Vancouver School of Economics, revised 17 Dec 2004.
  8. Roman Inderst, 2008. "Dynamic Bilateral Bargaining under Private Information with a Sequence of Potential Buyers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(1), pages 220-236, January.
  9. Engelbrecht-Wiggans, Richard, 1994. "Sequential auctions of stochastically equivalent objects," Economics Letters, Elsevier, Elsevier, vol. 44(1-2), pages 87-90.
  10. Gianni De Fraja & Jozsef Sakovics, 2004. "Walras Retrouve: Decentralized Trading Mechanisms and the Competitive Price," ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh 36, Edinburgh School of Economics, University of Edinburgh.
  11. Coles, Melvyn G & Muthoo, Abhinay, 1994. "Strategic Bargaining and Competitive Bidding in a Dynamic Market Equilibrium," CEPR Discussion Papers, C.E.P.R. Discussion Papers 938, C.E.P.R. Discussion Papers.
  12. Gregory Lewis & Matthew Backus, 2010. "An Estimable Demand System for a Large Auction Platform Market," 2010 Meeting Papers, Society for Economic Dynamics 158, Society for Economic Dynamics.
  13. Taylor, Curtis R, 1995. "The Long Side of the Market and the Short End of the Stick: Bargaining Power and Price Formation in Buyers', Sellers', and Balanced Markets," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 110(3), pages 837-55, August.
  14. Said, Maher, 2008. "Information Revelation and Random Entry in Sequential Ascending Auctions," MPRA Paper 7160, University Library of Munich, Germany.
  15. Mireia Jofre-Bonet & Martin Pesendorfer, 2003. "Estimation of a Dynamic Auction Game," Econometrica, Econometric Society, Econometric Society, vol. 71(5), pages 1443-1489, 09.
  16. Kochar, Subhash C., 1999. "On stochastic orderings between distributions and their sample spacings," Statistics & Probability Letters, Elsevier, Elsevier, vol. 42(4), pages 345-352, May.
  17. Bartoszewicz, Jaroslaw, 1986. "Dispersive ordering and the total time on test transformation," Statistics & Probability Letters, Elsevier, Elsevier, vol. 4(6), pages 285-288, October.
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Citations

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Cited by:
  1. Bryan Lim, 2010. "The Case for Last-Second Bidding," Levine's Working Paper Archive 661465000000000343, David K. Levine.
  2. Pownall, Rachel A.J. & Wolk, Leonard, 2013. "Bidding behavior and experience in internet auctions," European Economic Review, Elsevier, Elsevier, vol. 61(C), pages 14-27.

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