Said, Maher (2009): Sequential Auctions with Randomly Arriving Buyers.
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We analyze a dynamic market in which buyers compete in a sequence of auctions. New buyers and objects may arrive at random times. Buyers' private values, however, are not persistent. Instead, buyers draw new values in every period; equivalently, objects are heterogeneous but are drawn from the same distribution.
We consider the use of the second-price auction for selling these objects. In equilibrium, buyers do not bid their true value. Instead, they shade their bids down by their continuation value, which is the option value of participating in future auctions. We show that this option value depends not only on the number of buyers currently present on the market, but also on anticipated market dynamics. We also generalize our results to the setting in which values correspond to a "buyer's market" or a "seller's market" and market conditions evolve, with persistence, from one to the other.
|Item Type:||MPRA Paper|
|Original Title:||Sequential Auctions with Randomly Arriving Buyers|
|Keywords:||Dynamic markets, Random arrivals, Endogenous option value, Sequential auctions, Stochastic equivalence.|
|Subjects:||D - Microeconomics > D4 - Market Structure and Pricing > D44 - Auctions
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D83 - Search; Learning; Information and Knowledge; Communication; Belief
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
|Depositing User:||Maher Said|
|Date Deposited:||30. Apr 2009 00:32|
|Last Modified:||15. Feb 2013 06:15|
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Available Versions of this Item
Dynamic Markets with Randomly Arriving Agents. (deposited 07. Aug 2008 11:35)
Stochastic Equivalence in Sequential Auctions with New Buyers. (deposited 31. Oct 2008 10:29)
- Sequential Auctions with Randomly Arriving Buyers. (deposited 30. Apr 2009 00:32) [Currently Displayed]
- Stochastic Equivalence in Sequential Auctions with New Buyers. (deposited 31. Oct 2008 10:29)