Efficiency of Large Double Auctions

We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of “a little independence.” We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any α>0, inefficiency disappears at rate 1/n^2‐α.     

Toward a Strategic Foundation for Rational Expectations Equilibrium

A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double‐auction equilibrium is almost efficient and almost fully aggregates the agents' information.     

An Experimental Investigation of Procurement Auctions with Asymmetric Sellers

Electronic reverse auctions are a commonly used procurement mechanism. Research to date has focused on suppliers who are ex ante symmetric in that their costs are drawn from a common distribution. However, in many cases, a seller's range of potential costs depends on their own operations, location, or economies of scale and scope. Thus, understanding how different bidder types impact auction outcomes is key when designing an auction. This study reports the results of the first controlled laboratory experiment designed to compare prices between first‐price and second‐price procurement auctions for homogeneous goods when seller cost types are asymmetric and the number of bidders varies. The results indicate that first‐price auctions generate lower prices regardless of market composition. The results also reveal that first‐price auctions are at least weakly more efficient than second‐price auctions despite the theoretical prediction that the reverse should hold in asymmetric auctions. Post hoc analysis of individual bidders' behavior in first‐price auctions revealed evidence that bidders systematically underbid when their cost realizations were close to the lower bound. Furthermore, bidders adjust their behavior based on the type of the other bidders in the market in a manner inconsistent with theory. Consequently, adding a third bidder to a two‐bidder market is not advantageous to the buyer unless that third bidder is a low‐cost type.     

Partner selection for reverse logistics centres in green supply chains: a fuzzy artificial immune optimisation approach

The design of reverse logistics networks has now emerged as a major issue for manufacturers, not only in developed countries where legislation and societal pressures are strong, but also in developing countries where the adoption of reverse logistics practices may offer a competitive advantage. This paper presents a new model for partner selection for reverse logistic centres in green supply chains. The model offers three advantages. Firstly, it enables economic, environment and social factors to be considered simultaneously. Secondly, by integrating fuzzy set theory and artificial immune optimisation technology, it enables both quantitative and qualitative criteria to be considered simultaneously throughout the whole decision-making process. Thirdly, it extends the flat criteria structure for partner selection evaluation for reverse logistics centres to the more suitable hierarchy structure. The applicability of the model is demonstrated by means of an empirical application based on data from a Chinese electronic equipment and instruments manufacturing company.     

机动车限牌的社会福利影响和最优配额研究

为了应对日益严重的交通拥堵和空气污染问题,中国越来越多的大城市采取限牌政策来控制机动车保有量的增长.通过估计北京、上海、天津和南京4座城市机动车使用外部成本,和消费者对机动车牌照的支付意愿(willingness to pay,WTP),对拍卖、摇号和混合3种机动车限牌政策的社会福利影响进行了定量分析.实证研究结果表明,摇号模式带来的社会福利损失最大,拍卖模式带来的社会福利损失最小,混合模式带来的社会福利损失居中.与最优牌照配额相比,2012年北京和上海的真实配额存在138亿元和28.6亿元的社会福利净损失.如果4座城市采用最优配额和牌照拍卖制度,在控制机动车数量增长的同时,将获得10亿到200亿不等的可用于城市交通基础设施建设或公共交通补贴的可观的财政收入.     

网上逢低买入拍卖形式下的买方策略

逢低买入是一种新型的基于网络的动态定价方式。这种定价方式将不同的投标人联合起来以便获得数量折扣,它的一个特点就是商品的价格随着中标人数的增加而降低。本文采用独立私有估价假设,建立了一个不完全信息的动态博弈模型来解释在逢低买入机制下的买方的投标策略问题。通过求解发现,对于买方而言,存在一个弱占优策略:投标人投低于他估价的最大被允许投标值,这表明逢低买入拍卖是一种弱激励相容的机制。     

Bidding under auctioneer default risk

In a financially turbulent economy, participants of a procurement auction should consider in their bids the event of default of the auctioneer, which may result to substantial damages for the winning bidder. We examine a sealed bid auction, with private cost values and interdependence among the beliefs of the bidders about the auctioneer׳s default risk. The probability of payment of the bid price by the auctioneer is estimated by each bidder. For a first and a second price auction, we derive equilibrium bidding strategies, which address the risk of default and optimally adjust the bid price, introducing a risk premium in the form of an additional mark-up. A numerical illustration of the proposed strategies is provided. The effect of auctioneer׳s risk of default on the procurement project cost is examined. Financial arrangements that may be used to relax or eliminate the effect of the risk of default, such as early payment methods, third party guarantees or insurance programs are discussed and evaluated in comparison with the approach of risk premium on bid price.     

在线竞价拍购中影响价格变化的关键因素分析

从目前的应用情况来看.在众多的电子采购模式中在线竞价拍购效果最好.站在采购商的角度,从适合中国现实情况的B2B在线竞价拍购模式入手,采用真实案例和竞价数据,从3个方面展开实证分析和研究,即在线竞价拍购模型的应用模式以及为企业带来的经济效益、影响最终采购价格变化的主要因素、控制和改变这些要素对竞价过程和最终结果的影响,最后给出采购商获取最大经济收益的对策建议.     

基于拍卖博弈的资产剥离实物期权决策简

针对不确定环境下以拍卖方式交易的企业资产剥离时机选择问题,构建以对称独立私人估价拍卖博奔（SIPV）刻画交易收益,并以资产价值剥离临界值为决策变量的实物期权决策模型,证明其解存在且唯一。数值分析显示,剥离交易的买方越多,其对剥离资产估值上限越高,则剥离临界值越高,资产剥离的期权价值越大。资产价值波动率越高,则剥离临界值越低,资产剥离的期权价值越大。     

中国证券市场的波动性——一个开收盘角度的实证研究

本文采用上证180的100只典型个股为样本对上海股市开收盘的波动性进行了实证研究,实证结论表明我国股市开盘回报的波动性显著大于收盘波动性。本文进一步对影响波动性的因素进行考察,认为开盘方式和开盘交易过程中释放的私人信息是造成上述现象的重要原因,因此着重从信息的代理指标-交易量的角度考察回报的波动性的差异。