Asymptotically optimal prior-free clock auctions

Simon Loertscher and Leslie M. Marx

Journal of Economic Theory, 2020, vol. 187, issue C

Abstract: Clock auctions have a number of properties that make them attractive for practical purposes. They are weakly group strategy-proof, make bidding truthfully an obviously dominant strategy, and preserve trading agents' privacy. However, optimal reserve prices and stopping rules depend on the details of underlying distributions, and so clock auctions have proved challenging to implement in a prior-free, asymptotically optimal way. In this paper, we develop a prior-free clock auction that is asymptotically optimal by exploiting a relationship between hazard rates and the spacings between order statistics. Extensions permit price discrimination among heterogeneous groups, minimum revenue thresholds, and quantity caps.

Keywords: Asymptotic optimality; Estimating virtual types; Spacings (search for similar items in EconPapers)
JEL-codes: C72 D44 L13 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:187:y:2020:i:c:s002205312030034x

DOI: 10.1016/j.jet.2020.105030

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