The effects of statistically dependent values on equilibrium strategies of bilateral k-double auctions

Thomas Gresik

Games and Economic Behavior, 2011, vol. 72, issue 1, 139-148

Abstract: This paper describes how introducing statistical dependency among trader values changes the equilibrium bidding strategies in bilateral k-double auctions and uses the special case of affiliation to illustrate the range of equilibrium responses to a change in the value distribution. Consistent with standard intuition, a change from independent to strictly affiliated valuations can result in high-value buyers and low-value sellers bidding closer to their actual values while low-value buyers and high-value sellers distort their bids farther from their true values. However, there also exist equilibria for which either type of trader responds to a change in the distribution of values in the opposite direction. Whether a given trader bids more aggressively or less aggressively can also be non-monotonic with respect to the trader's value.

Keywords: Double; auctions; Statistically; dependent; valuations; Affiliation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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