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Auctions as Experiments

Author

Listed:
  • Mira Frick
  • Ryota Iijima
  • Yuhta Ishii
  • Nicholas Wu

Abstract

Consider an auction with buyers whose values depend on an underlying state (e.g., market fundamentals). How does the auction format shape the information that buyers' bids reveal about the state? We recast auctions as statistical experiments and compare different auction formats in terms of the (Lehmann) informativeness of the induced experiments. Our main finding is that among a large class of auctions (e.g., $k$th-price, all-pay), the first-price auction is the most informative. As a result, this auction guarantees the highest payoffs to a decision-maker who uses the information revealed by buyers' bids in a monotone decision problem (e.g., a prediction problem or the choice of a reserve price in a future auction).

Suggested Citation

  • Mira Frick & Ryota Iijima & Yuhta Ishii & Nicholas Wu, 2026. "Auctions as Experiments," Papers 2609.21168, arXiv.org.
    • Handle: RePEc:arx:papers:2609.21168
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    References listed on IDEAS

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    4. Martin Mihelich & Yan Shu, 2019. "Analytical solution of $k$th price auction," Papers 1911.04865, arXiv.org, revised Jun 2020.
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    6. Martin Mihelich & Yan Shu, 2020. "Analytical solution of kth price auction," International Journal of Game Theory, Springer;Game Theory Society, vol. 49(3), pages 875-884, September.
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