Real-time Bidding for Time Constrained Impression Contracts in First and Second Price Auctions - Theory and Algorithms

Dynamic Bidding in Second Price Auctions

We develop a dynamic model of biddings in second price auctions where agents’ bidding opportunities and values follow a joint Markov process. We prove that equilibrium exists and is unique, providing a recursive representation and algorithm to solve for bids as a function of time and values. The equilibrium bid equals the expected final value conditional on being the bidder’s final one: either ...

Rationalizable bidding in first-price auctions

We analyze the consequences of strategically sophisticated bidding without assuming equilibrium behavior. In particular, we characterize interim rationalizable bids in symmetric first-price auctions with interdependent values and affiliated signals. We show that (1) every non-zero bid below the equilibrium is rationalizable, (2) some bids above the equilibrium are rationalizable, (3) the upper ...

Bidding in first-price and second-price interdependent-values auctions: A laboratory experiment∗

We report a laboratory experiment on first-price and second-price auctions in settings with independent signals and interdependent values. The environment includes independent private values and the common-value “wallet game” as limiting cases. We manipulate the degree of interdependence of values across sessions, while maintaining the same Bayes-Nash equilibrium bidding function. In contrast, ...

Last-Minute Bidding and Rules for Ending Second-Price Auctions

A Bidding Ring Protocol for First-Price Auctions

We identify a self-enforcing collusion protocol (a “bidding ring”) for non-repeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and Marx [2007], we allow for the existence of multiple cartels in the auction and do not assume that non-colluding agents have perfect knowledge about the number of colluding agents whose bids are sup...