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Simulation of Sequential Auction Markets Using Priced Options to Reduce Bidder Exposure

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Part of the Studies in Computational Intelligence book series (SCI, volume 319)

Summary

This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face in sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers.

We then perform a comprehensive experimental analysis of our mechanism for different market settings, both with a single synergy bidder, as well as with multiple synergy bidders are active simultaneously. By comparison to our previous work [18, 17], this paper does not focus on analytical results and detailed proofs for the theorems (which are comprehensively reported in Mous et. al. ’08 [18]), but it does give more detailed experimental results than reported in previous wok.

Keywords

Option Price Multiagent System Reserve Price Bidding Strategy Combinatorial Auction 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Dutch National Center for Mathematics and Computer ScienceCWIAmsterdamThe Netherlands
  2. 2.Econometrics InstituteErasmus University RotterdamRotterdamNL
  3. 3.School of Electronics and Computer ScienceUniversity of SouthamptonSouthamptonUnited Kingdom

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