The effects of statistically dependent values on equilibrium strategies of bilateral k-double auctions
This paper describes how introducing statistical dependency among trader values changes the equilibrium bidding strategies in bilateral k-double auctions and uses the special case of affiliation to illustrate the range of equilibrium responses to a change in the value distribution. Consistent with standard intuition, a change from independent to strictly affiliated valuations can result in high-value buyers and low-value sellers bidding closer to their actual values while low-value buyers and high-value sellers distort their bids farther from their true values. However, there also exist equilibria for which either type of trader responds to a change in the distribution of values in the opposite direction. Whether a given trader bids more aggressively or less aggressively can also be non-monotonic with respect to the trader's value.
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- Castro, Luciano I. de, 2007. "Affiliation, equilibrium existence and the revenue ranking of auctions," UC3M Working papers. Economics we074622, Universidad Carlos III de Madrid. Departamento de Economía. Full references (including those not matched with items on IDEAS)
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