多因素采购组合拍卖动态机制设计研究

在允许"价格-质量"投标的多因素投标环境下,设计了一种多因素采购组合拍卖的动态机制(规则),提出了竞争均衡打分的概念。构建了多因素采购组合拍卖动态机制的优化模型,讨论了拍卖规则和优化模型实现互补松弛条件之间的必然联系。基本结论是:在本拍卖机制中,投标者采用最佳近视反应投标策略,将使拍卖的分配结果趋向最优,最终在拍卖结束时实现系统效用最大化。     

ASSESSING SOCIAL COSTS OF INEFFICIENT PROCUREMENT DESIGN

This paper considers the social costs implied by inefficient allocation of contracts in a first‐price, sealed‐bid procurement auction with asymmetric bidders. We adopt a constrained (piecewise linear) strategy equilibrium concept and estimate the structural parameters of the bidders' distribution of costs. We estimate social costs defined as the predicted cost difference between the winning firm and the most efficient bidding firm. We also compare the expected procurement costs under two different auction formats. The data is collected from procurement auctions of road painting in Sweden during 1993–1999. The results indicate that the social costs of inefficient contract allocation is about 2% of total potential production cost and that an efficient second‐price auction would lower the expected procurement cost by 2.5%. (JEL: D44, H57, C15)     

Keyword Auctions,Unit‐Price Contracts,and the Role of Commitment

Motivated by the enormous growth of keyword advertising, this paper explores the design of performance‐based unit‐price contract auctions, in which bidders bid their unit prices and the winner is chosen based on both their bids and performance levels. The previous literature on unit‐price contract auctions usually considers a static case where bidders' performance levels are fixed. This paper studies a dynamic setting in which bidders with a low performance level can improve their performance at a certain cost. We examine the effect of the performance‐based allocation on overall bidder performance, auction efficiency, and the auctioneer's revenue, and derive the revenue‐maximizing and efficient policies accordingly. Moreover, the possible upgrade in bidders' performance level gives the auctioneer an incentive to modify the auction rules over time, as is confirmed by the practice of Yahoo! and Google. We thus compare the auctioneer's revenue‐maximizing policies when she is fully committed to the auction rule and when she is not, and show that the auctioneer should give less preferential treatment to low‐performance bidders when she is fully committed.     

Speculation in Standard Auctions with Resale

In standard auctions resale creates a role for a speculator—a bidder who is commonly known to have no use value for the good on sale. We study this issue in environments with symmetric independent private‐value bidders. For second‐price and English auctions the efficient value‐bidding equilibrium coexists with a continuum of inefficient equilibria in which the speculator wins the auction and makes positive profits. First‐price and Dutch auctions have an essentially unique equilibrium, and whether or not the speculator wins the auction and distorts the final allocation depends on the number of bidders, the value distribution, and the discount factor. Speculators do not make profits in first‐price or Dutch auctions.     

新股询价发行中的价格区间与配售策略

询价制在新股首次公开发行中正变得日益流行和重要.运用机制设计理论建模分析了承销商如何在新股询价发行过程中制定最优的发行底价和折价水平以得到合适的价格区间,并在发生超额认购时对投资者采取最优的配售策略.研究结果表明当价格区间与配售量满足激励约束条件时,可以达到让知情投资者搜集信息并如实报价的均衡,此外.折价及发行底价均与配售额关系密切,通过策略地分配股票,可以有效降低折价水平并保证较高的发行底价,进一步减少融资成本.     

The Dynamic Pivot Mechanism

We consider truthful implementation of the socially efficient allocation in an independent private‐value environment in which agents receive private information over time. We propose a suitable generalization of the pivot mechanism, based on the marginal contribution of each agent. In the dynamic pivot mechanism, the ex post incentive and ex post participation constraints are satisfied for all agents after all histories. In an environment with diverse preferences it is the unique mechanism satisfying ex post incentive, ex post participation, and efficient exit conditions. We develop the dynamic pivot mechanism in detail for a repeated auction of a single object in which each bidder learns over time her true valuation of the object. The dynamic pivot mechanism here is equivalent to a modified second price auction.     

An Auction Mechanism for Pricing and Capacity Allocation with Multiple Products

We consider a pricing and short‐term capacity allocation problem in the presence of buyers with orders for bundles of products. The supplier's objective is to maximize her net profit, computed as the difference between the revenue generated through sales of products and the production and inventory holding costs. The objective of each buyer is similarly profit maximization, where a buyer's profit is computed as the difference between the time‐dependent utility of the product bundle he plans to buy, expressed in monetary terms, and the price of the bundle. We assume that bundles' utilities are buyers' private information and address the problem of allocating the facility's output. We directly consider the products that constitute the supplier's output as market goods. We study the case where the supplier follows an anonymous and linear pricing strategy, with extensions that include quantity discounts and time‐dependent product and delivery prices. In this setting, the winner determination problem integrates the capacity allocation and scheduling decisions. We propose an iterative auction mechanism with non‐decreasing prices to solve this complex problem, and present a computational analysis to investigate the efficiency of the proposed method under supplier's different pricing strategies. Our analysis shows that the problem with private information can be effectively solved with the proposed auction mechanism. Furthermore, the results indicate that the auction mechanism achieves more than 80% of the system's profit, and the supplier receives a higher percentage of profit especially when the ratio of demand to available capacity is high.     

Managing Risks in Multiple Online Auctions: An Options Approach*

The scenario of established business sellers utilizing online auction markets to reach consumers and sell new products is becoming increasingly common. We propose a class of risk management tools, loosely based on the concept of financial options that can be employed by such sellers. While conceptually similar to options in financial markets, we empirically demonstrate that option instruments within auction markets cannot be developed employing similar methodologies, because the fundamental tenets of extant option pricing models do not hold within online auction markets. We provide a framework to analyze the value proposition of options to potential sellers, option‐holder behavior implications on auction processes, and seller strategies to write and price options that maximize potential revenues. We then develop an approach that enables a seller to assess the demand for options under different option price and volume scenarios. We compare option prices derived from our approach with those derived from the Black‐Scholes model ( Black & Scholes, 1973 ) and discuss the implications of the price differences. Experiments based on actual auction data suggest that options can provide significant benefits under a variety of option‐holder behavioral patterns.     

A Framework for Estimating Benefits of Using Auctions in Revenue Management*

We develop a stochastic model to explore the benefits of incorporating auctions in revenue management. To the best of our knowledge the extant literature on modeling in revenue management has not considered auctions. We consider three models, namely, a traditional fixed price (non‐auction) model, a pure auction model, and a hybrid auction model and evaluate their revenue performance under a variety of conditions. The hybrid approach outperforms the other two in all 24 scenarios and yields an average revenue increase of 16.1% over the next best. A surprise finding is that there is no significant difference between the performance of the fixed price and pure auction approaches. A sensitivity analysis reveals that the relative superiority of the hybrid revenue management strategy is reasonably robust.     

DEALER INTERMEDIATION BETWEEN MARKETS

We develop a dynamic model of dealer intermediation between a monopolistic customer–dealer market and a competitive interdealer limit order market. Dealers face inventory constraints and adverse selection. We characterize the optimal quote setting and inventory management behavior for both markets in closed form and reveal how price setting in one market segment influences quote behavior in the other. The framework is used to explore market stability issues of the two‐tier market structure and delivers testable predictions about how the dispersion of retail prices is related to the state of the interdealer limit order book. Data from the European sovereign bond market is used to test for inventory related retail price dispersion.     

Do Auction Parameters Affect Buyer Surplus in E‐Auctions for Procurement?

Although the initial euphoria about Internet‐enabled reverse auctions has given way to a cautious but widespread use of reverse auctions in business‐to‐business (B2B) procurement, there is a limited understanding of the effect of auction design parameters on buyer surplus. In this paper, we study the effect of bidding competition, information asymmetry, reserve price, bid decrement, auction duration, and bidder type on buyer surplus. We collected field data on more than 700 online procurement auctions conducted by a leading auctioneer and involving procurement items worth millions of dollars. Consistent with the predictions of auction theory, the results indicate that bidding competition, reserve price, and information sharing affect buyer surplus. Unlike previous findings in the consumer‐to‐consumer context, we find that bid decrement and auction duration have no effect in B2B procurement auctions. Our results suggest that use of the rank‐bidding format increases buyer surplus when incumbent suppliers participate in the auction. We discuss the theoretical and managerial implications of these findings for future research and for optimal design of online procurement auctions.     

Increasing Revenue by Decreasing Information in Procurement Auctions

We report on results of several laboratory experiments that investigate on‐line procurement auctions in which suppliers bid on price, but exogenous bidder quality affects winner determination. In procurement auctions, bidder quality may or may not be publicly known to all bidders, and the effect of this quality transparency on the auction outcome is one aspect of auction design that we examine. The second aspect of auction design that we examine is the effect of price visibility on the auction outcome, and the interaction between price visibility and quality transparency. In terms of price visibility, we consider two extreme cases: the sealed bid request for proposals (RFPs), and the open‐bid dynamic auction event. In terms of bidder quality transparency, we also consider two extreme cases: a setting in which bidder qualities are publicly known and the case in which they are private. We find that in our laboratory experiments, the RFP format is consistent in generating higher buyer surplus levels than does the open‐bid dynamic format. This advantage is independent of the quality transparency. In contrast, the open‐bid format is highly sensitive to quality transparency, generating significantly lower buyer surplus levels when the information about bidder quality is public.     

Split‐Award Procurement Auctions—Can Bayesian Equilibrium Strategies Predict Human Bidding Behavior in Multi‐Object Auctions?

We analyze if and when symmetric Bayes Nash equilibrium predictions can explain human bidding behavior in multi‐object auctions. We focus on two sealed‐bid split‐award auctions with ex ante split decisions as they can be regularly found in procurement practice. These auction formats are straightforward multi‐object extensions of the first‐price sealed‐bid auction. We derive the risk‐neutral symmetric Bayes Nash equilibrium strategies and find that, although the two auction mechanisms yield the same expected costs to the buyer, other aspects of the two models, including the equilibrium bidding strategies, differ significantly. The strategic considerations in these auction formats are more involved than in single‐lot first‐price sealed‐bid auctions, and it is questionable whether expected utility maximization can explain human bidding behavior in such multi‐object auctions. Therefore, we analyzed the predictive accuracy of our equilibrium strategies in the laboratory. In human subject experiments we found underbidding, which is in line with earlier experiments on single‐lot first‐price sealed‐bid auctions. To control for regret, we organize experiments against computerized bidders, who play the equilibrium strategy. In computerized experiments where bid functions are only used in a single auction, we found significant underbidding on low‐cost draws. In experiments where the bid function is reused in 100 auctions, we could also control effectively for risk aversion, and there is no significant difference of the average bidding behavior and the risk‐neutral Bayes Nash equilibrium bid function. The results suggest that strategic complexity does not serve as an explanation for underbidding in split‐award procurement auctions, but risk aversion does have a significant impact.     

Two Backorder Compensation Mechanisms in Inventory Systems with Impatient Customers

We study a compensation mechanism design problem with customer‐choice behavior in a continuous review setting where the production and demand processes are stochastic. When a stockout occurs, the firm controls backorders on the basis of certain compensation policies. Customers make decisions to maximize their utility, which is decreasing in the price, the waiting time, and the customer's impatience factor. We assume that the impatience factor is private information held by the customer only. Two compensation mechanisms are designed to control backorders, namely uniform compensation and priority auction with an admission price. Under uniform compensation, the firm offers the same discount to all customers, whereas under auction compensation, priority is granted according to the customers' bid prices. We obtain the optimal stockout price and base stock level under each mechanism, and analyze the properties of the respective optimal policies. Assuming linear waiting costs with uniformly distributed impatience factor, we find that the auction mechanism (1) maintains a lower base stock level and results in greater profit and (2) benefits customers with relatively lower or higher impatience factors, but customers with a medium impatience factor may be rendered worse off. We further show that both compensation mechanisms are suitable for products with a high unit profit, a high lost sales penalty cost, and a high holding cost.     

基于可变供给量的可分离物品拍卖及其应用

本文对统一价格下可分离物品的拍卖问题进行了研究。首先,在买者报价连续、买者和卖者风险中立、卖者采取可变供给量(将供给量看成价格的函数)的策略下,设计了一个新的基于可变供给量的可分离物品统一价格拍卖机制,研究了其信息激励性和分配的有效性,给出了卖者的最佳供给策略和买者的均衡报价策略。然后,将拍卖机制推广到风险中立、风险爱好和风险厌恶三类风险买者共存的情形,并给出了相应的均衡结论,该结论与现有的一些成果相比更具一般性。最后,给出了拍卖机制在环境规划中应用。具体地,结合"十一五"期间获得的"1+8武汉城市圈"环境规划中有关污染物允许排放总量分配数据和统计申报资料,利用拍卖模型来分析和评价了免费分配方案的有效性程度,并据此给出了关于目前排污申报制度和免费分配方法的若干结论和建议。     

Efficient Multi‐Attribute Multi‐Unit Auctions for B2B E‐Commerce Logistics

This study is the first proposing allocatively efficient multi‐attribute auctions for the procurement of multiple items. In the B2B e‐commerce logistics problem (ELP), the e‐commerce platform is the shipper generating a large number of online orders between product sellers and buyers, and third‐party logistics (3PL) providers are carriers that can deliver these online orders. This study focuses on the ELP with multiple attributes (ELP‐MA), which is generally the problem of matching the shipper's online orders and 3PL providers given that price and other attributes are jointly evaluated. We develop a one‐sided Vickrey–Clarke–Groves (O‐VCG) auction for the ELP‐MA. The O‐VCG auction leads to incentive compatibility (on the sell side), allocative efficiency, budget balance, and individual rationality. We next introduce the concept of universally unsatisfied set to construct a primal‐dual algorithm, also called the primal‐dual Vickrey (PDV) auction. We prove that the O‐VCG auction can be viewed as a single‐attribute multi‐unit forward Vickrey (SA‐MFV) auction. Both PDV and SA‐MFV auctions realize VCG payments and truthful bidding for general valuations. This result reveals the underlying link not only between single‐attribute and multi‐attribute auctions, but between static and dynamic auctions in a multi‐attribute setting.     

Reverse Auctions to Innovate Procurement Processes: Effects of Bid Information Presentation Design on a Supplier's Bidding Outcome

Information technologies (ITs) are being used to innovate various procurement processes. This research study focuses on the supplier‐side effects of IT design choices to conduct reverse auctions, which are increasingly used to procure a wide range of products and services. IT–enabled reverse auctions enhance supplier participation across geographical boundaries, leading to more efficient pricing. However, there are growing concerns about the adverse effects of IT–enabled reverse auctions on a supplier's performance. Supplier‐side issues are gaining prominence in the reverse auction literature and are critical for the long‐term success of reverse auctions. Therefore, we focus on suppliers’ bidding outcomes and assess how the design of an IT–enabled reverse auction facilitates the auction bidding outcomes of participating suppliers. Specifically, we examine the effects of two types of bid information presentation design—full price visibility and partial price visibility—on supplier's auction bidding outcomes, across auctions with different cost certainty and suppliers bargaining power vis‐à‐vis the buyer. The results of this study contribute new knowledge about the ways to use IT for creating effective auction designs and innovating procurement through auctions to enhance both the buyer's and suppliers’ performance. We present the detailed theoretical contributions of our study and discuss the managerial implications for designers of reverse auctions.      

Notes and Comments the Amsterdam Auction

The Amsterdam auction has been used to sell real estate in the Dutch capital for centuries. By awarding a premium to the highest losing bidder, the Amsterdam auction favors weak bidders without having the implementation difficulties of Myerson's (1981) optimal auction. In a series of experiments, we compare the standard first‐price and English auctions, the optimal auction, and two variants of the Amsterdam auction. With strongly asymmetric bidders, the second‐price Amsterdam auction raises substantially more revenues than standard formats and only slightly less than the optimal auction.     

Reputation and Mechanism Choice in Procurement Auctions: An Experiment

We experimentally study the role of reputation in procurement using two common mechanisms: price‐based and buyer‐determined auctions. While buyers are bound to buy from the lowest bidder in price‐based auctions, they can choose between bidders in buyer‐determined auctions. Only the latter buyers can consider the reputation of bidders. We find that bidders supply higher quality in buyer‐determined auctions leading to higher market efficiencies in these auctions. Accordingly, buyers prefer the buyer‐determined auction over the price‐based auction, while only half of the bidders do so. A more detailed analysis of buyers' and bidders' behavior and profits provides insights into their mechanism choice.     

基于优先权拍卖的产能分配机制研究

本文考虑一个供应商和两个独立零售商构成的供应链系统。当供应商的产能受到约束时，零售商可能会竞争有限的产能。本文提出将“优先分配权”作为一个有价值的标的物进行拍卖，按照出价高低确定优先分配顺序。本文证明了优先权拍卖机制属于共同价值模型，并提出了两类拍卖机制：事先拍卖和事后拍卖。本文证明两类优先权拍卖机制均会促使零售商提交真实的需求作为订单量，并且满足收益等价定理。而就供应商期望利润而言，事后优先权拍卖机制要高于事先优先权拍卖机制。