The expected payoff to Internet auctions |
| |
Authors: | Laurens de Haan Casper G de Vries Chen Zhou |
| |
Institution: | (1) University of Tilburg, Tilburg, The Netherlands;(2) University of Lisbon, Lisbon, Portugal;(3) Erasmus University Rotterdam, Rotterdam, The Netherlands;(4) Tinbergen Institute, Rotterdam, The Netherlands;(5) Economics and Research Division, De Nederlandsche Bank, P.O. Box 98, 1000AB Amsterdam, The Netherlands |
| |
Abstract: | In an Internet auction, the expected payoff acts as a benchmark of the reasonableness of the price that is paid for the purchased
item. Since the number of potential bidders is not observable, the expected payoff is difficult to estimate accurately. We
approach this problem by considering the bids as a record and 2-record sequence of the potential bidder’s valuation and using
the Extreme Value Theory models to model the tail distribution of the bidder’s valuation and study the expected payoff. Along
the discussions for three different cases regarding the extreme value index γ, we show that the observed payoff does not act as an accurate estimation of the expected payoff in all the cases except a
subclass of the case γ = 0. Within this subclass and under a second order condition, the observed payoff consistently converges to the expected
payoff and the corresponding asymptotic normality holds.
|
| |
Keywords: | Internet auction Extreme value theory Record sequence |
本文献已被 SpringerLink 等数据库收录! |
|