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Quantitative Finance · Glossaire

Qu'est-ce que « Private and common values, first- and second-price auctions » ?

Aussi appelé : private-value auction · common-value auction · first-price auction · second-price auction · bid shading

Definition 29.4 Quantitative Methods · Chapitre 29 — Games, Auctions and Information

In a private-value auction each bidder knows its own value for the object; in a common-value auction the value is the same for all and each bidder sees only a signal of it. In a first-price auction sealed bids are opened and the highest bidder pays its bid; in a second-price auction (Vickrey, 1961) the highest bidder pays the second-highest bid. Bid shading is bidding below one’s value.

Expected profit (v - b)\, ( win) of a bidder with value 0.8 in a first-price auction against four rivals with uniform values who bid 4/5 of their values: the best response is the equilibrium bid. Data: the chapter’s tutorial.
Figure 29.1. Expected profit (v−b) P(win)(v - b)\,\P(\text{win}) of a bidder with value 0.8 in a first-price auction against four rivals with uniform values who bid 45\frac45 of their values: the best response is the equilibrium bid. Data: the chapter’s tutorial.
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