交易机制的博弈演化理论综述

以交易双方市场地位的变迁为线索,系统地梳理了国外从上世纪60年代初至今半个多世纪以来使用博弈论方法研究市场交易机制的文献,按照交易双方所处的市场地位不同,将市场交易的博弈机制理论划分为以下四种:拍卖机制、谈判机制、双向拍卖机制、逆向拍卖机制理论.阐述了相关文章的研究假设、研究思路和主要研究结论.在中国市场不断国际化的进程中,这对于提高市场主体参与市场博弈的效率、有效地建设社会主义市场经济体制都具有重要的参考价值.     

碳配额拍卖机制设计:基于多主体模型的研究

本文在回顾欧盟碳市场拍卖机制的基础上,建立了基于多主体的碳配额拍卖模型(CAAM),讨论拍卖出清价格是应该采取统一价格拍卖还是歧视性价格拍卖这个问题。研究结果对中国在未来设计碳市场相关机制有一定的参考意义。     

一级密封价格拍卖的博弈分析

公共物品是西方福利经济学的重要研究对象。传统理论认为公共物品是不能通过市场来有效提供的,但是随着技术的进步和制度的创新与完善,使得私人部门提供公共物品成为可能。因此,从私人部门提供公共物品的条件入手,引入一级密封价格拍卖模型来分析私人提供公共物品的可行性。     

市场与拍卖

本文提出市场的时间维度概念 ,讨论了时间维度与市场目标的关系 :它是市场的交易目标和价格目标之间的调节器。丰富了市场理论。在上述讨论的基础上 ,深入剖析了四种经典的单向拍卖 (英式拍卖、荷式拍卖、第一价格拍卖、第二价格拍卖 )和两类双向拍卖 (连续双向拍卖和间隔双向拍卖 ) ,讨论了现代拍卖理论和传统市场理论的关系 :微观的、动态的现代拍卖理论是宏观的、静态的传统市场理论的补充、深入、和发展 ,二者结合起来才能形成完整的市场理论。     

多物品拍卖的最最优机制设计理论评述——兼论国有产权拍卖

拍卖是具有明确规则的市场制度,在参与者竞价的基础上,通过一系列规则来决定资源的配置和成交价格.迄今为止,人们对单物品拍卖的研究已相对完善.目前,有关拍卖理论的文献较多地关注时多物品拍卖和网上拍卖的研究,特别是对拍卖机制的效率和最优机制的设计等问题的研究.本文分析比较了单位需求和线性需求条件下同质多特品拍卖的最优机制设计,井尝试此结论分析我国国有资产分离过程中的拍卖方式的选择问题.     

双向拍卖中的“零信息”模型研究

首先介绍了双向拍卖与单向拍卖的本质区别，然后分析了双向拍卖市场中的买卖双方所面临的复杂报价决策过程，最后在分析“零信息”报价模型和“增强型零信息”报价模型的基础上，提出了一种通用的“零信息”报价模型－－k-ZI模型。     

信誉的价值:以网上拍卖交易为例

本文使用网上拍卖交易数据,就卖者信誉对市场交易的影响进行了实证研究。我们发现,卖者的信誉评价一方面影响物品成交的价格,另一方面还对物品拍卖成功的概率有着显著的正面影响;但相对来说,卖者的信誉评价对后者的效果比对前者要更显著。这是本文的主要发现。该结果验证了在一个没有政府干预、近乎自由放任的“虚拟”市场上信誉机制的积极作用。     

汽车牌照配置的混合机制设计——对我国车牌配置机制改进的探讨

文章在分析中国各城市车牌配置机制所存在缺陷的基础上,基于考虑预算约束条件的多物品拍卖理论模型,提出了能够涵盖中国现行主要车牌配置机制的一类包含统一保留价格的序贯拍卖—摇号混合机制.文章进一步讨论了车牌配置机制中引人关注的公平性含义,并使用数值模拟的实验方法从效率、收入和公平性三个维度对包含统一保留价格的序贯拍卖—摇号混合机制了进行评价.最后,文章结合上海市车牌配置机制改革的现实背景,考虑了将二手车牌纳入拍卖平台的情形,对上述混合机制做了进一步扩展.文章的研究结论为汽车牌照配置机制的改进和选择提供了理论基础和政策参考.     

密封价格拍卖或招标中的有限腐败

本文研究了密封价格拍卖或招投标中的有限腐败问题,探讨了当行贿者通过行贿招标主持人获得多次出标机会,而其他竞标者不知道这种有限腐败行为时,对拍卖结果所产生的影响。在第二价格拍卖机制下,由于竞标者按真实估价报价总是弱占优策略,该有限腐败行为在此拍卖机制下不会产生影响。但对于密封的第一价格拍卖机制来说,由于行贿者的多个标价中的最高标价比其他竞标者的标价更强势(aggressive),导致其他竞标者获胜的概率减少,行贿者获胜的概率增加。而行贿者的其他出标机会所用的出标策略比其他竞标者的出标策略要弱势,所以在保证期望收益增加的情况下所付出的期望支付有可能比在没有腐败情形下的期望支付要低。特别地,当行贿者获得更多的出标机会时所采用的出标策略与我们的直觉是有差异的。有限腐败对于物品所有者来说是不利的,他的期望收益随着行贿者的特权的增强而减少。     

网上拍卖雇佣出价行为的研究

雇佣出价是卖方雇佣出价人(或卖方)扮作买方故意人为地抬高被拍卖物品的竞价.雇佣出价通常发生在拍卖价值较高的物品且竞买人对这些物品估价差异较大的情况下,这样卖方就能从欺诈中获得较高的收益.为了预防和检查雇佣出价行为,本文给出了一个使得雇佣出价无利可图的拍卖机制.这一机制强调拍卖人的作用,拍卖人根据中标价和卖方保留价之差收取佣金,佣金率在不同的拍卖市场是不同的,确保雇佣出价无利可图.     

An experimental investigation of soft price caps in uniform price auction markets for wholesale electricity

This paper presents the results from an auction experiment using industry professionals and student participants who compete in a simulated wholesale market for electricity. Motivated by the intervention by FERC in response to the “meltdown” of the California spot market, we investigate the effect of including a “soft” price cap in a uniform price auction as a means of mitigating high prices. When prices are driven above the soft cap, offer curves become flat, in contrast to the hockey stick shape observed in a typical uniform price auction for electricity. This flat offer curve leads to market prices that are relatively insensitive to both generation costs and demand reductions.      

Breaking Collusion in Auctions through Speculation: An Experiment on CO2 Emission Permit Markets

The European Emission Trading Scheme (EU‐ETS) has chosen to adopt an auctioning procedure to initially allocate CO₂ emission permits. Free allocation of permits will become an exception for the third phase (2013–2020) and most firms will have to buy all their permits on the market or via auctions. The ability of bidders to collude is a key concern about the design of the auction format. To counter collusion, the auction can be open to bidders without compliance obligations (speculators). This paper aims at studying experimentally speculation as a collusion‐breaking device in two different auction mechanisms: the uniform‐price sealed‐bid auction and the ascending clock auction. Our results suggest that a uniform sealed‐bid auction open to speculators should be chosen from a revenue maximization point of view. In this mechanism, compliance agents adopt an aggressive strategy toward speculators. This strategy significantly increases the seller's revenue, compared to the more collusive clock auction. In the latter, on the contrary, bidders accommodate speculators, letting them buy permits in the auction and buying their necessary permits on the secondary market. However, as opening the auction to speculators deteriorates efficiency, the regulator faces a trade‐off between these two objectives.     

风险投资退出股权拍卖机制研究

设计了满足信息有效和激励相容条件的风险投资退出股权拍卖机制,有效解决了风险投资退出时股权交易市场中不对称信息导致的市场萎缩和交易价格失真等问题。通过与其他交易方式的交易绩效进行比较分析,进一步证明了本文所设计的拍卖机制的有效性。     

Optimality versus practicality in market design: A comparison of two double auctions

We consider a market for indivisible items with m buyers and m sellers. Traders privately know their values/costs, which are statistically dependent. Two mechanisms are considered. The buyer's bid double auction collects bids and asks from traders and determines the allocation by selecting a market-clearing price. It fails to achieve all possible gains from trade because of strategic bidding. The designed mechanism is a revelation mechanism in which honest reporting of values/costs is incentive compatible and all gains from trade are achieved. This optimality, however, comes at the expense of plausibility: (i) the monetary transfers among the traders are defined in terms of the traders' beliefs about each other's value/cost; (ii) a trader may suffer a loss ex post; (iii) the mechanism may run a surplus/deficit ex post. We compare the virtues of the simple yet mildly inefficient buyer's bid double auction to the flawed yet perfectly efficient designed mechanism.     

Sequential vs. single-round uniform-price auctions

We study sequential and single-round uniform-price auctions with affiliated values. We derive symmetric equilibrium for the auction in which k₁ objects are sold in the first round and k₂ in the second round, with and without revelation of the first-round winning bids. We demonstrate that auctioning objects in sequence generates a lowballing effect that reduces the first-round price. Total revenue is greater in a single-round, uniform auction for k=k₁+k₂ objects than in a sequential uniform auction with no bid announcement. When the first-round winning bids are announced, we also identify a positive informational effect on the second-round price. Total expected revenue in a sequential uniform auction with winning-bids announcement may be greater or smaller than in a single-round uniform auction, depending on the model's parameters.     

网络团购拍卖中竞标者队列研究

通过分析网络团购拍卖机制下的竞标者等待达到拍卖保留价格现象,提出网络团购拍卖过程中存在竞标者队列,并揭示了竞标者队列的性质及其对网络团购拍卖机制设计的影响。研究指出:网络团购拍卖存在较大数量的成功竞标者,这些成功竞标者因需等待拍卖最终成交而形成竞标者队列;拍卖方对竞标者队列进行的服务与成批服务的排队系统相似,但也存在差异;拍卖方可优化网络团购拍卖机制,以保证获得拍卖收益,并减少在服务过程中出现的队列拥塞现象的发生。     

Are auction revenues affected by rising art buyers’ premia? The case of early American art

The steady rise in the premiums charged to art buyers at auction (above hammer price) has been underway since 1992. This article, using a stable and bounded sample of repeat purchase of American works created before 1950, reveals that this tact has reduced hammer prices for that art. However, renewed and hyper-competitive efforts to bring more and higher quality art to market by the two main houses, Sotheby’s and Christie’s, have resulted in general profitability. Nevertheless, we calculate that a rise in buyers’ premia at Sotheby’s, a publically traded company, has reduced revenues and profits below their potential in the absence of such increases.     

Market behavior in bid,offer, and double auctions: A Reexmination

This study examines the robustness of the previously observed [Smith (1964)] differences in market behavior between double auctions (both buyers and sellers may enter price quotes), bid auctions (only buyers may enter price quotes), and offer auctions (only sellers may enter price quotes). Based on the results of twenty-one market experiments, we find little support for the a priori hypothesis that bid auction prices tend to be greater than double auction prices which tend to be greater than offer auction prices.     

The Informational Role of the EPA SO2 Permit Auction

We consider the ex ante informational implications of the mandatory surrender feature of a stylized emission permit auction, similar to that in the U.S. EPA SO₂ permit scheme, but modeled as a uniform price auction. The theory suggests that generally the auction gives misleading signals concerning the expected price of permits in the post-auction permit market; in the cases where the permit auction is designed to correctly predict the post-auction permit market equilibrium price, the permit auction preempts the permit market, and all trading occurs in the auction. Ex post auction/market experience suggests that the market may have enabled the auction and consequently raises the possibility that the market may have worked in spite of the auction and not because of it.     

The multiple unit auction with variable supply

Summary. The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. Received: June 18, 1998; revised version: January 13, 1999