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Intra-Day Dynamics in Sequential Auctions: Theory and Estimation

  • Laffont, J.-J.
  • Loisel, P.
  • Robert, J.

A theoretical model of sequential first-price auctions where bidders are risk-averse and values are affiliated is developed. For constant risk-aversion utility functions and a particular specification of affiliation, closed-form solutions for the symmetric equilibrium of a sequence of k first-price auctions are obtained. The model is able to generate complex intra-day dynamics, in particular inverse U-shape series of winning bids that we have in our data set of eggplants auctions.

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Paper provided by Toulouse - GREMAQ in its series Papers with number 98.488.

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Length: 29 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:gremaq:98.488
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