Related papers: On Risk Aversion in Auctions

While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…

In this paper, we study behavior of bidders in an experimental launch of a new advertising auction platform by Zillow, as Zillow switched from negotiated contracts to using auctions in several geographically isolated markets. A unique…

We study the design of prior-independent auctions in a setting with heterogeneous bidders. In particular, we consider the setting of selling to $n$ bidders whose values are drawn from $n$ independent but not necessarily identical…

Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…

We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current…

We study auctions with severe bounds on the communication allowed: each bidder may only transmit t bits of information to the auctioneer. We consider both welfare- and profit-maximizing auctions under this communication restriction. For…

We study sequential procurement auctions where the sellers are provided with a ``best and final offer'' (BAFO) strategy. This strategy allows each seller $i$ to effectively ``freeze'' their price while remaining active in the auction, and…

In a second-price auction with i.i.d. (independent identically distributed) bidder valuations, adding bidders increases expected buyer surplus if the distribution of valuations has a sufficiently heavy right tail. While this does not imply…

We study the problem of regret minimization for a single bidder in a sequence of first-price auctions where the bidder discovers the item's value only if the auction is won. Our main contribution is a complete characterization, up to…

The standard framework of online bidding algorithm design assumes that the seller commits himself to faithfully implementing the rules of the adopted auction. However, the seller may attempt to cheat in execution to increase his revenue if…

Designing revenue optimal auctions for selling an item to $n$ symmetric bidders is a fundamental problem in mechanism design. Myerson (1981) shows that the second price auction with an appropriate reserve price is optimal when bidders'…

We study auction design when a seller relies on machine-learning predictions of bidders' valuations that may be unreliable. Motivated by modern ML systems that are often accurate but occasionally fail in a way that is essentially…

In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…

First-price auctions are one of the most popular mechanisms for selling goods and services, with applications ranging from display advertising to timber sales. Unlike their close cousin, the second-price auction, first-price auctions do not…

An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.

In an auction each party bids a certain amount and the one which bids the highest is the winner. Interestingly, auctions can also be used as models for other real-world systems. In an all pay auction all parties must pay a forfeit for…

Learning to bid in repeated first-price auctions is a fundamental problem at the interface of game theory and machine learning, which has seen a recent surge in interest due to the transition of display advertising to first-price auctions.…

Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…

We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…

We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…