Learning to bid: The design of auctions under uncertainty and adaptation

Noe, Thomas (2012) Learning to bid: The design of auctions under uncertainty and adaptation. In: Far Eastern South Asian Meeting of the Econometric Society, 16 July 2008, Singapore.

Abstract

We examine auction design in a context where symmetrically informed adaptive agents with common valuations learn to bid for a good. Despite the absence of private valuations, asymmetric information, or risk aversion, bidder strategies do not converge to the Bertrand–Nash equilibrium strategies even in the long run. Deviations from equilibrium strategies depend on uncertainty regarding the value of the good, auction structure, the agentsʼ learning model, and the number of bidders. Although individual agents learn Nash bidding strategies in isolation, the learning of each agent, by flattening the best-reply correspondence of other agents, blocks common learning. These negative externalities are more severe in second-price auctions, auctions with many bidders, and auctions where the good has an uncertain value ex post.

Item Type: Conference or Workshop Item (Paper)
Keywords: Auction design; Adaptive learning; Genetic algorithm
Subject(s): Finance
Centre: Faculty of Finance
Date Deposited: 26 Feb 2012 18:09
Last Modified: 23 Oct 2015 14:07
URI: http://eureka.sbs.ox.ac.uk/id/eprint/2903

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