TY - JOUR
T1 - Impact of dependence among valuations on expected revenue in auctions
AU - Fang, Rui
AU - Li, Xiaohu
AU - Yan, Rongfang
N1 - Publisher Copyright:
Copyright © Taylor & Francis Group, LLC.
PY - 2015/1/1
Y1 - 2015/1/1
N2 - This work studies the dependence and asymmetry among valuations in sealedbid auctions with private valuations. In the framework of valuations with Archimedean copulas, it is found that a stronger positive dependence stochastically enhances the final price and lowers the winner's expected rent in the two-bidder, second-price auction, and the degree of positive dependence has an opposite impact on the final price in the first-price auction. In the context of multiple bidders with valuations having proportional reversed hazards, reducing the asymmetry among negatively dependent valuations is proved to enhance the final price in the second-price auction, and a stronger (weaker) positive dependence along with less (more) asymmetry on valuations is showed to stochastically lower (increase) the final price in the first-price auction.
AB - This work studies the dependence and asymmetry among valuations in sealedbid auctions with private valuations. In the framework of valuations with Archimedean copulas, it is found that a stronger positive dependence stochastically enhances the final price and lowers the winner's expected rent in the two-bidder, second-price auction, and the degree of positive dependence has an opposite impact on the final price in the first-price auction. In the context of multiple bidders with valuations having proportional reversed hazards, reducing the asymmetry among negatively dependent valuations is proved to enhance the final price in the second-price auction, and a stronger (weaker) positive dependence along with less (more) asymmetry on valuations is showed to stochastically lower (increase) the final price in the first-price auction.
KW - Archimedean copula
KW - Kendall's tau
KW - Majorization
KW - Superadditive
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U2 - 10.1080/01966324.2015.1035821
DO - 10.1080/01966324.2015.1035821
M3 - Article
AN - SCOPUS:84962524904
SN - 0196-6324
VL - 34
SP - 234
EP - 264
JO - American Journal of Mathematical and Management Sciences
JF - American Journal of Mathematical and Management Sciences
IS - 3
ER -