Treasury Bill Auctions in Spain: an Optimal-Control Approach

Francisco Alvarez Gonzalez (), Emilio Cerdá and Cristina Mazon ()
Additional contact information
Cristina Mazon: Universidad Complutense de Madrid

No 232, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: In this paper, we use the Wang and Zender (98) model of auctions, and derive, using optimal control, the optimal bidding strategy in the Spanish Treasury Bill auctions (STBA). Spain is the only country that uses a hybrid system of discriminatory and uniform price auctions: winning bidders pay their bid price if it is lower than the weighted average of winning bids, while all other winning bidders pay the weighted average of winning bids. Wang and Zender derive optimal strategies for alpha-auctions, and discriminatory and uniform auctions are special cases of alpha-auctions. However, STBA are not alpha-auctions, and the characteristics of the auction add complexity to the control problem to be solved. We also derive an expression for the seller's expected revenue and compare it to the alpha-auctions.

Date: 1999-03-01
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf9:232

Access Statistics for this paper

More papers in Computing in Economics and Finance 1999 from Society for Computational Economics CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().