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Intra-Day Dynamics in Sequential Auctions: Theory and Estimation

Author

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

Abstract

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.

Suggested Citation

  • Laffont, J.-J. & Loisel, P. & Robert, J., 1998. "Intra-Day Dynamics in Sequential Auctions: Theory and Estimation," Papers 98.488, Toulouse - GREMAQ.
  • Handle: RePEc:fth:gremaq:98.488
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    Citations

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    Cited by:

    1. Harry J. Paarsch & Stephen G. Donald & Jacques Robert, 2006. "An empirical model of the multi-unit, sequential, clock auction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1221-1247.
    2. Frédéric Salladarré & Patrice Guillotreau & Patrice Loisel & Pierrick Ollivier, 2015. "The declining price anomaly in sequential auctions with asymmetric buyers: Evidence from the Nephrops norvegicus market in France," Working Papers hal-01147207, HAL.
    3. Neugebauer, Tibor & Pezanis-Christou, Paul, 2007. "Bidding behavior at sequential first-price auctions with(out) supply uncertainty: A laboratory analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 55-72, May.
    4. Tibor Neugebauer & Paul Pezanis-Christou, 2003. "Bidding at Sequential First-Price Auctions with(out) Supply Uncertainty: a Laboratory Analysis," Working Papers 24, Barcelona Graduate School of Economics.
    5. Walter Beckert, 2004. "Dynamic Monopolies with Stochastic Demand," Birkbeck Working Papers in Economics and Finance 0404, Birkbeck, Department of Economics, Mathematics & Statistics.
    6. Zulehner, Christine, 2009. "Bidding behavior in sequential cattle auctions," International Journal of Industrial Organization, Elsevier, vol. 27(1), pages 33-42, January.
    7. Christine Zulehner, 1998. "Econometric Analysis of Cattle Auctions," CIG Working Papers FS IV 98-16, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    8. Tibor Neugebauer, 2005. "Bidding Strategies Of Sequential First Price Auctions Programmed By Experienced Bidders," Experimental 0503007, EconWPA.

    More about this item

    Keywords

    AUCTIONS;

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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