The evolution of bidding behavior in private-values auctions and double auctions

• Autores: Rene Saran, Roberto Serrano
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 12, 2007
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • We apply stochastic stability to study the evolution of bidding behaviour in private-value second-price, first-price and k-double auctions. The learning process has a strong component of inertia but with a small probability, the bids are modified in the direction of ex-post regrets. We identify essentially a unique bid that will be used by each type in the long run. In the second-price auction, this is the truthful bid. In the first-price auction, bidding half of one¿s valuation is stable. The stable bid in the k-double auction is a toughening of the Chatterjee-Samuelson linear equilibrium strategy. If we add a friction in changing one¿s dib, then truth-telling behaviour is also obtained in the firstprice and k-double auctions. Intuitively, the stochastically stable bid minimizes the maximal regret.