Dynamic Markets with Randomly Arriving Agents
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 9868.
Date of creation: 05 Aug 2008
Date of revision:
Dynamic markets; Random arrivals; Endogenous option value; Sequential auctions; Stochastic equivalence;
Other versions of this item:
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-14 (All new papers)
- NEP-CTA-2008-08-14 (Contract Theory & Applications)
- NEP-DGE-2008-08-14 (Dynamic General Equilibrium)
- NEP-GTH-2008-08-14 (Game Theory)
- NEP-MIC-2008-08-14 (Microeconomics)
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