Auctions in financial markets

Jakub Kastl

International Journal of Industrial Organization, 2020, vol. 70, issue C

Abstract: In this article I discuss how auctions and tools developed for their empirical analysis can inform empirical analysis of financial markets. Since virtually all markets organized as auctions have well-specified and known rules that map nicely into game-theoretical models, I demonstrate using several applications that one can often leverage particular details to study issues that have nothing to do with the auction per se. To do so, I first review an estimation method, which is widely applicable in many settings where a researcher needs to recover agents’ beliefs, in order to establish a link between observables and unobservables using some version of a necessary condition for optimality. I then discuss applications to quantification of front-running, evaluation of quantitative easing operations and estimation of a demand system for financial products.

Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:indorg:v:70:y:2020:i:c:s0167718719300876

DOI: 10.1016/j.ijindorg.2019.102559

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