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Multiagent System Simulations of Treasury Auctions

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Abstract

This study uses a multiagent system to determine which payment rule provides the most revenue in Treasury auctions that are based on Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.

Suggested Citation

  • Alan Mehlenbacher, 2007. "Multiagent System Simulations of Treasury Auctions," Department Discussion Papers 0709, Department of Economics, University of Victoria.
  • Handle: RePEc:vic:vicddp:0709
    Note: ISSN 1914-2838
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    1. Ali Hortacsu & Samita Sareen, 2005. "Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions," NBER Working Papers 11116, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Alan Mehlenbacher, 2007. "Multiagent System Platform for Auction Simulations," Department Discussion Papers 0706, Department of Economics, University of Victoria.

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    More about this item

    Keywords

    Axiomatic bargaining; resource monotonicity; transferable utility; risk aversion;
    All these keywords.

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • D13 - Microeconomics - - Household Behavior - - - Household Production and Intrahouse Allocation
    • D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement

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