Intra-Day Dynamics in Sequential Auctions: Theory and Estimation

Jean-Jacques Laffont, Patrice Loisel and J. Robert

Working Papers from Toulouse - GREMAQ

Abstract: A theoretical model of sequential first-price auctions where bidders are risk-averse and values are affiliated is developed. For constant risk-aversion utility functions and a particular specification of affiliation, closed-form solutions for the symmetric equilibrium of a sequence of k first-price auctions are obtained. The model is able to generate complex intra-day dynamics, in particular inverse U-shape series of winning bids that we have in our data set of eggplants auctions.

Keywords: AUCTIONS (search for similar items in EconPapers)
JEL-codes: D44 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1998
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:gremaq:98.488

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