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Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions

Haile, Philip A.; Hong, Han; Shum, Matthew - Cowles Foundation for Research in Economics, Yale University - 2003

observations only of the bids submitted at each auction, and are based on the fact that the "winner's curse" arises only in common … expectation of the value of winning the auction. Equilibrium behavior implies that in a private values auction these expectations …

Persistent link: https://www.econbiz.de/10005762657

Information Structures in Optimal Auctions

Bergemann, Dirk; Pesendorfer, Martin - Cowles Foundation for Research in Economics, Yale University - 2001

whom to sell at what price. We establish that optimal information structures in an optimal auction exhibit a number of …

Persistent link: https://www.econbiz.de/10005762850

Consistent Testing for Stochastic Dominance: A Subsampling Approach

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002

We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for...

Persistent link: https://www.econbiz.de/10005593569

Price Dynamics on a Stock Market with Asymmetric Information

Meyer, Bernard De - Cowles Foundation for Research in Economics, Yale University - 2007

The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to...

Persistent link: https://www.econbiz.de/10005463901

Multidimensional Private Value Auctions

Fang, Hanming; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2003

valuation as well as noisy signals about her opponentÌs private valuation. In such multidimensional private value auction … revenue ranking; while the second price auction is always efficient allocatively, the first price auction may be inefficient … auction. We also show that auction mechanisms provide different incentives for bidders to acquire costly information about …

Persistent link: https://www.econbiz.de/10005463947

The Generalized War of Attrition

Bulow, Jeremy I.; Klemperer, Paul - Cowles Foundation for Research in Economics, Yale University - 1996

We generalize the War of Attrition model to allow for N + K firms competing for N prizes. Two special cases are of particular interest. First, if firms continue to pay their full costs after dropping out (as in a standard-setting context), each firm's exit time is independent both of K and of...

Persistent link: https://www.econbiz.de/10005463982

A Double Auction Market: Teaching, Experiment and Theory

Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2003

A simultaneous double auction market with bid and offer cards was utilized in classes on the theory and history of … properties of the double auction market. The third purpose was to interpret the experimental results an link them to theory. …

Persistent link: https://www.econbiz.de/10005464032

Dynamic Revenue Maximization: A Continuous Time Approach

Bergemann, Dirk; Strack, Philipp - Cowles Foundation for Research in Economics, Yale University - 2014

We characterize the revenue-maximizing mechanism for time separable allocation problems in continuous time. The valuation of each agent is private information and changes over time. At the time of contracting every agent privately observes his initial type which influences the evolution of his...

Persistent link: https://www.econbiz.de/10011124283

Simple Agents, Intelligent Markets

Jamal, Karim; Maier, Michael; Sunder, Shyam - Cowles Foundation for Research in Economics, Yale University - 2012

Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market...

Persistent link: https://www.econbiz.de/10011207378

Minimally Complex Exchange Mechanisms: Emergence of Prices, Markets, and Money

Dubey, Pradeep; Sahi, Siddhartha; Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2014

We consider abstract exchange mechanisms wherein individuals submit "diversified" offers in m commodities, which are then redistributed to them. Our first result is that if the mechanism satisfies certain natural conditions embodying "fairness" and "convenience" then it admits unique prices, in...

Persistent link: https://www.econbiz.de/10010817223