IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v16y2021i2a10.html
   My bibliography  Save this article

Extreme Value Theory and Auction Models

Author

Listed:
  • Paolo Riccardo Morganti

    (Universidad Panamericana, México)

Abstract

El objetivo de este artículo es desarrollar un enfoque paramétrico para estimar subastas con datos incompletos utilizando la Teoría de los Valores Extremos (EVT). La metodología es principalmente teórica: primero revisamos que, cuando solo se pueden observar los precios de transacción, la distribución de las valoraciones privadas se identifica de manera irregular. El sesgo de la muestra producido por los estimadores no paramétricos afectará a todos las formas funcionales de interés práctico. Proporcionamos simulaciones para el mejor de los casos y el peor de los casos. Nuestros resultados muestran que, en comparación con los enfoques no paramétricos, la aproximación de tales formas funcionales desarrolladas usando EVT produce resultados más precisos, es fácil de calcular y no requiere fuertes suposiciones sobre la distribución no observada de las valoraciones de los oferentes. Se recomienda que los operadores financieros que trabajan con subastas utilicen este enfoque paramétrico cuando se enfrentan a conjuntos de datos incompletos. Dada la naturaleza difícil del análisis, este trabajo no proporciona propiedades de muestra grande para los estimadores propuestos y recomienda el uso de bootstrapping. Este artículo contribuye originalmente a la literatura de estimación estructural de modelos de subasta proporcionando una aproximación paramétrica útil y robusta.

Suggested Citation

  • Paolo Riccardo Morganti, 2021. "Extreme Value Theory and Auction Models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-15, Abril - J.
  • Handle: RePEc:imx:journl:v:16:y:2021:i:2:a:10
    as

    Download full text from publisher

    File URL: https://www.remef.org.mx/index.php/remef/article/view/596
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. W. J. Hall & Jon A. Wellner, 1979. "The rate of convergence in law of the maximum of an exponential sample," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 33(3), pages 151-154, September.
    3. Elodie Guerre & I. Perrigne & Q.H. Vuong, 2000. "Optimal nonparametric estimation of first-price auctions [[Estimation nonparamétrique optimale des enchères au premier prix]]," Post-Print hal-02697497, HAL.
    4. Jess Benhabib & Alberto Bisin, 2006. "The distribution of wealth and redistributive policies," 2006 Meeting Papers 368, Society for Economic Dynamics.
    5. Shakeeb Khan & Elie Tamer, 2010. "Irregular Identification, Support Conditions, and Inverse Weight Estimation," Econometrica, Econometric Society, vol. 78(6), pages 2021-2042, November.
    6. Susan Athey & Philip A. Haile, 2002. "Identification of Standard Auction Models," Econometrica, Econometric Society, vol. 70(6), pages 2107-2140, November.
    7. Maud Thomas & Magali Lemaitre & Mark L Wilson & Cécile Viboud & Youri Yordanov & Hans Wackernagel & Fabrice Carrat, 2016. "Applications of Extreme Value Theory in Public Health," PLOS ONE, Public Library of Science, vol. 11(7), pages 1-7, July.
    8. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, Oxford University Press, vol. 121(2), pages 461-504.
    9. Konrad Menzel & Paolo Morganti, 2013. "Large sample properties for estimators based on the order statistics approach in auctions," Quantitative Economics, Econometric Society, vol. 4(2), pages 329-375, July.
    10. Rustam Ibragimov & Dwight Jaffee & Johan Walden, 2009. "Nondiversification Traps in Catastrophe Insurance Markets," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 959-993, March.
    11. William Vickrey, 1961. "Counterspeculation, Auctions, And Competitive Sealed Tenders," Journal of Finance, American Finance Association, vol. 16(1), pages 8-37, March.
    12. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2003. "A theory of power-law distributions in financial market fluctuations," Nature, Nature, vol. 423(6937), pages 267-270, May.
    13. Mohlin, Erik & Östling, Robert & Wang, Joseph Tao-yi, 2015. "Lowest unique bid auctions with population uncertainty," Economics Letters, Elsevier, vol. 134(C), pages 53-57.
    14. de Haan, Laurens & de Vries, Casper G. & Zhou, Chen, 2013. "The number of active bidders in internet auctions," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1726-1736.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Paolo Riccardo Morganti, 2021. "Extreme Value Theory and Auction Models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-15, Abril - J.
    2. Kaplan, Uma & Marmer, Vadim & Shneyerov, Artyom, 2016. "Identifying Collusion in English Auctions," Microeconomics.ca working papers vadim_marmer-2016-3, Vancouver School of Economics, revised 08 Jul 2017.
    3. Vasserman, Shoshana & Watt, Mitchell, 2021. "Risk aversion and auction design: Theoretical and empirical evidence," International Journal of Industrial Organization, Elsevier, vol. 79(C).
    4. Yixin Lu & Alok Gupta & Wolfgang Ketter & Eric van Heck, 2019. "Dynamic Decision Making in Sequential Business-to-Business Auctions: A Structural Econometric Approach," Management Science, INFORMS, vol. 65(8), pages 3853-3876, August.
    5. Susan Athey & Jonathan Levin & Enrique Seira, 2011. "Comparing open and Sealed Bid Auctions: Evidence from Timber Auctions," The Quarterly Journal of Economics, Oxford University Press, vol. 126(1), pages 207-257.
    6. Hortaçsu, Ali, 2011. "Recent progress in the empirical analysis of multi-unit auctions," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 345-349, May.
    7. Susan Athey & Philip A. Haile, 2006. "Empirical Models of Auctions," NBER Working Papers 12126, National Bureau of Economic Research, Inc.
    8. Tong Li, 2005. "Econometrics of first-price auctions with entry and binding reservation prices," Journal of Econometrics, Elsevier, vol. 126(1), pages 173-200, May.
    9. Zheng, Xiaoyong, 2009. "Quantifying the cost of excess market thickness in timber sale auctions," International Journal of Industrial Organization, Elsevier, vol. 27(5), pages 553-566, September.
    10. Dutra, Renato Cabral Dias & Carpio, Lucio Guido Tapia, 2021. "Biodiesel auctions in Brazil: Symmetry of bids and informational paradigm," Renewable and Sustainable Energy Reviews, Elsevier, vol. 137(C).
    11. Song Yao & Carl F. Mela, 2008. "Online Auction Demand," Marketing Science, INFORMS, vol. 27(5), pages 861-885, 09-10.
    12. Lorentziadis, Panos L., 2016. "Optimal bidding in auctions from a game theory perspective," European Journal of Operational Research, Elsevier, vol. 248(2), pages 347-371.
    13. Kastl, Jakub, 2020. "Auctions in financial markets," International Journal of Industrial Organization, Elsevier, vol. 70(C).
    14. Yusuke Matsuki, 2016. "A Distribution-Free Test of Monotonicity with an Application to Auctions," Working Papers e110, Tokyo Center for Economic Research.
    15. Lamy, Laurent, 2012. "The econometrics of auctions with asymmetric anonymous bidders," Journal of Econometrics, Elsevier, vol. 167(1), pages 113-132.
    16. George Halkos & Kyriaki Tsilika, 2015. "Programming Identification Criteria in Simultaneous Equation Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 157-170, June.
    17. Brendstrup, Bjarne & Paarsch, Harry J., 2007. "Semiparametric identification and estimation in multi-object, English auctions," Journal of Econometrics, Elsevier, vol. 141(1), pages 84-108, November.
    18. Harry J. Paarsch & Jacques Robert, 2003. "Testing Equilibrium Behaviour At First-Price, Sealed-Bid Auctions With Discrete Bid Increments," CIRANO Working Papers 2003s-32, CIRANO.
    19. JOUNEAU-SION, Frédéric & TORRES, Olivier, 2000. "Auctions with discrete increments: a structural econometric approach based on dominated strategies," LIDAM Discussion Papers CORE 2000046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Sundström, David, 2016. "On Specification and Inference in the Econometrics of Public Procurement," Umeå Economic Studies 931, Umeå University, Department of Economics.

    More about this item

    Keywords

    Extreme Value Theory; Structural Estimation; Auctions; Transaction Prices; Irregular Identification.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:16:y:2021:i:2:a:10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.