Robust Bidding in First-Price Auctions: How to Bid Without Knowing What Others Are Doing

Bernhard Kasberger and Karl Schlag

Management Science, 2024, vol. 70, issue 7, 4219-4235

Abstract: We propose how to bid in first-price auctions when a bidder knows the own value but not how others will bid. To do this, we introduce a methodology to show how to make choices in strategic settings without assuming common knowledge or equilibrium behavior. Accordingly, we first eliminate environments that are believed not to occur and then find a robust rule that performs well in the remaining environments. We test our bids using data from laboratory experiments and the field and find that our bids outperform those made by real bidders.

Keywords: robust decision making; first-price auction; minimax loss; empirical loss; nonequilibrium model (search for similar items in EconPapers)
Date: 2024
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http://dx.doi.org/10.1287/mnsc.2023.4899 (application/pdf)

Related works:
Working Paper: Robust Bidding in First-Price Auctions: How to Bid without Knowing what Otheres are Doing (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:70:y:2024:i:7:p:4219-4235

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