The BARISTA: a model for bid arrivals in online auctions

DOI10.1214/07-AOAS117zbMATH Open1418.91224arXiv0712.1962MaRDI QIDQ2466471FDOQ2466471

Authors: Galit Shmueli, Ralph P. Russo, Wolfgang Jank 

Publication date: 15 January 2008

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Abstract: The arrival process of bidders and bids in online auctions is important for studying and modeling supply and demand in the online marketplace. A popular assumption in the online auction literature is that a Poisson bidder arrival process is a reasonable approximation. This approximation underlies theoretical derivations, statistical models and simulations used in field studies. However, when it comes to the bid arrivals, empirical research has shown that the process is far from Poisson, with early bidding and last-moment bids taking place. An additional feature that has been reported by various authors is an apparent self-similarity in the bid arrival process. Despite the wide evidence for the changing bidding intensities and the self-similarity, there has been no rigorous attempt at developing a model that adequately approximates bid arrivals and accounts for these features. The goal of this paper is to introduce a family of distributions that well-approximate the bid time distribution in hard-close auctions. We call this the BARISTA process (Bid ARrivals In STAges) because of its ability to generate different intensities at different stages. We describe the properties of this model, show how to simulate bid arrivals from it, and how to use it for estimation and inference. We illustrate its power and usefulness by fitting simulated and real data from eBay.com. Finally, we show how a Poisson bidder arrival process relates to a BARISTA bid arrival process.

Full work available at URL: https://arxiv.org/abs/0712.1962

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zbMATH Keywords

self-similaritynonhomogeneous Poisson processsnipingbidding dynamicsbidding frequency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited In (13)

• DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL
• The expected payoff to Internet auctions
• Flexible modeling of Hurdle Conway-Maxwell-Poisson distributions with application to mining injuries
• Estimating intermediate price transitions in online auctions
• Moving from data-constrained to data-enabled research: experiences and challenges in collecting, validating and analyzing large-scale e-commerce data
• The number of active bidders in internet auctions
• Pairwise dynamic time warping for event data
• Dynamically integrated regression model for online auction data
• Distance-based clustering of sparsely observed stochastic processes, with applications to online auctions
• Lasso-type estimators for semiparametric nonlinear mixed-effects models estimation
• Bayesian inference, model selection and likelihood estimation using fast rejection sampling: the Conway-Maxwell-Poisson distribution
• Multilevel sparse functional principal component analysis
• Bundling Decisions for Selling Multiple Items in Online Auctions

Uses Software

• bootstrap

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