The expected payoff to Internet auctions

DOI10.1007/S10687-008-0077-ZMaRDI QIDQ626292zbMATH OpenOpenAlexFDO

Authors Casper G. de Vries, Chen Zhou, Laurens De Haan

Publication date 22 February 2011

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s10687-008-0077-z

zbMATH Keywords

extreme value theoryheavy tailed distributionrecord sequence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Auctions, bargaining, bidding and selling, and other market models (91B26)

Review text

The independent private values paradigm (IPVP) is used to model the expected value of payoff at Internet auctions (IA). Under this paradigm the bidder's valuations at IA are i.i.d. random varables \(X_1\),\dots, \(X_n\) and the payoff is the second largest order statistic \(M_{n-1:n}\) of these valuations. The problem is to estimate the expected payoff \(E M_{n-1:n}\) when the actual number \(n\) of bidders in the auction is unknown as it is the case at IA. The authors investigate the limit behaviour of \(E M_{n-1:n}\) as \(n\to\infty\) and consider estimates for this value by observed payoffs when \(X_i\) are heavy/light-tailed with the extremal value index \(\gamma\). It is shown that for \(0<\gamma<2\) the observed payoff underestimates the expected payoff. For \(E\log M_{n-1:n}\) an adjusted consistent estimator is proposed but this adjustment doesn't work for \(E M_{n-1:n}\). For \(\gamma<0\), when the bidder's valuation distribution has a finite endpoint, the observed payoff overestimates the expected payoff. For \(\gamma=0\), the observed payoff is a consistent estimate for the expected payoff.

Recommendations

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• scientific article; zbMATH DE number 3890413 (Why is no real title available?)
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Cited in

(6)

• The number of active bidders in internet auctions
• Pay-to-bid auctions: to bid or not to bid
• Pareto analysis based on records
• Seller Search and Market Outcomes in Online Auctions
• Internet auctions with a temporary buyout option
• Mathematics of the Internet. E-auction and markets. Proceedings of a workshop, Minneapolis, MN, USA, December 2000

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