Timing under individual evolutionary learning in a continuous double auction

The moment of order submission plays an important role for the trading outcome in a Continuous Double Auction; submitting an offer at the beginning of the trading period may yield a lower profit, as the trade is likely to be settled at the own offered price, whereas late offers result in a lower probability of trading. This timing problem makes the order submission strategy more difficult. We extend the behavioral model of Individual Evolutionary Learning to incorporate the timing problem and study the limiting distribution of submission moments and the resulting offer function that maps submission moments to offers. We find that traders submit different offers at different submission moments the distribution of which uni-modal with a peak moving from late to early as the market size increases. This behavior exacerbates efficiency loss from learning. If traders evaluate profitability of their strategies over longer history, orders are submitted later with the same effect of market size.     

Multi-unit auctions with private information: an indivisible unit continuous price model

We construct a model of multi-unit auctions in which I bidders bid for two indivisible units of a common value good. Using a first-order approach, we find that there are equilibria in which bidders bid the same price for both units in the discriminatory auction, but not in the uniform auction. When there are only two bidders, under certain conditions, there are linear equilibria for both the discriminatory and the uniform auction formats. In all equilibria, bidders equalize the expected marginal benefit of bidding to the marginal costs of bidding. We show that comparison of the seller??s expected revenue across auction formats depends only on the ratio of the precision of private information to the precision of public information.     

Pure strategy equilibria of single and double auctions with interdependent values

We prove the existence of monotonic pure strategy equilibrium for many kinds of asymmetric auctions with n bidders and unitary demands, interdependent values and independent types. The assumptions require monotonicity only in the own bidder's type. The payments can be a function of all bids. Thus, we provide a new equilibrium existence result for asymmetrical double auctions and a small number of bidders. The generality of our setting requires the use of special tie-breaking rules. We present an example of a double auction with interdependent values where all equilibria are trivial, that is, they have zero probability of trade. This is related to Akerlof's “market for lemmons” example and to the “winner's curse,” establishing a connection between them. However, we are able to provide sufficient conditions for non-trivial equilibrium existence.     

Impulse response analysis in a misspecified DSGE model: a comparison of full and limited information techniques

In this article, we examine the effect of estimation biases – introduced by model misspecification – on the impulse responses analysis for dynamic stochastic general equilibrium (DSGE) models. Thereby, we use full and limited information estimators to estimate a misspecified DSGE model and calculate impulse response functions (IRFs) based on the estimated structural parameters. It turns out that IRFs based on full information techniques can be unreliable under misspecification.     

On the continuous equilibria of affiliated-value,all-pay auctions with private budget constraints

We consider all-pay auctions in the presence of interdependent, affiliated valuations and private budget constraints. For the sealed-bid, all-pay auction we characterize a symmetric equilibrium in continuous strategies for the case of N bidders. Budget constraints encourage more aggressive bidding among participants with large endowments and intermediate valuations. We extend our results to the war of attrition where we show that budget constraints lead to a uniform amplification of equilibrium bids among bidders with sufficient endowments. An example shows that with both interdependent valuations and private budget constraints, a revenue ranking between the two auction formats is generally not possible. Equilibria with discontinuous bidding strategies are discussed.     

An experimental test of observational learning under imperfect information

Summary. Nearly all observational learning models assume that individuals can observe all the decisions that have previously been made. In reality, such perfect information is rarely available. To explore the difference between observational learning under perfect and imperfect information, this paper takes an experimental look at a situation in which individuals learn by observing the behavior of their immediate predecessors. Our experimental design uses the procedures of Çelen and Kariv [9] and is based on the theory of Çelen and Kariv [10]. We find that imitation is much less frequent when subjects have imperfect information, even less frequent than the theory predicts. Further, while we find strong evidence that under perfect information a form of generalized Bayesian behavior adequately explains behavior in the laboratory, under imperfect information behavior is not consistent even with this generalization of Bayesian behavior.Received: 29 January 2002, Revised: 12 May 2004, JEL Classification Numbers: C92, D8. Correspondence to: Boaçhan ÇelenWe completed most of this paper when we were both graduate students at New York University. This research was supported by the Center for Experimental Social Sciences (C.E.S.S.) and the C.V. Starr Center for Applied Economics at New York University. We are grateful to Andrew Schotter for his guidance and to an anonymous referee for his comments. We benefited from the expositional suggestions of William Baumol. We also acknowledge helpful discussions of Colin Camerer, Liran Einav, Xavier Gabaix, Douglas Gale, Charles Holt, David Laibson, and Matthew Rabin. We also benefited from suggestions by the participants of the 2002 International ESA Meeting and seminars at several universities.     

An experiment on learning with limited information: nonconvergence, experimentation cascades, and the advantage of being slow

We present the results of an experiment on learning in a continuous-time low-information setting. For a dominance solvable version of a Cournot oligopoly with differentiated products, we find little evidence of convergence to the Nash equilibrium. In an asynchronous setting, characterized by players updating their strategies at different frequencies, play tends toward the Stackelberg outcome which favors the slower player. Convergence is significantly more robust for a “serial cost sharing” game, which satisfies a stronger solution concept of overwhelmed solvability. As the number of players grows, this improved convergence tends to diminish, seemingly driven by frequent and highly structured experimentation by players leading to a cascading effect in which experimentation by one player induces experimentation by others. These results have implications both for traditional oligopoly competition and for a wide variety of strategic situations arising on the Internet.     

An experimental study of auctions with a buy price under private and common values

eBayʼs Buy It Now format allows a seller to list an auction with a “buy price” at which a bidder may purchase the item immediately and end the auction. When bidders are risk averse, then theoretically a buy price can raise seller revenue when values are private (but not when values are common). We report the results of laboratory experiments designed to determine whether in practice a buy price is advantageous to the seller. We find that a suitably chosen buy price yields a substantial increase in seller revenue when values are private, and a small (but statistically insignificant) increase in revenue when values are common. In both cases a buy price reduces the variance of seller revenue. A behavioral model which incorporates the winnerʼs curse and the overweighting by bidders of their own signal explains the common value auction data better than the rational model.     

An evolutionary edge of knowing less (or: On the ‘curse’ of global information)

Consider a population of farmers who live around a lake. Each farmer engages in trade with his two adjacent neighbors. The trade is governed by a prisoner’s dilemma ‘rule of engagement.’ A farmer’s payoff is the sum of the payoffs from the two prisoner’s dilemma games played with his two neighbors. When a farmer dies, his son takes over. The son decides whether to cooperate or defect by considering the actions taken and the payoffs received by the most prosperous members of the group comprising his own father and a set of his father’s neighbors. The size of this set, which can vary, is termed the ‘span of information.’ It is shown that a larger span of information can be detrimental to the stable coexistence of cooperation and defection, and that in well-defined circumstances, a large span of information leads to an end of cooperation, whereas a small span does not. Conditions are outlined under which, when individuals’ optimization is based on the assessment of less information, the social outcome is better than when optimization is based on an assessment of, and a corresponding response to, more information.     

The small sample properties of several limited information estimators in interdependent structures with scalar and vector autoregressive errors

This study is concerned with an examination of the finite sample behaviour of several limited information estimators in interdependent structures with error terms related over time and in certain specifications across equations. The Monte Carlo or simulation approach is adopted and applied to computationally manageable structures containing lagged dependent variables. The analysis of the Monte Carlo experiments is formulated in terms of estimating response functions, the dependent variables of which are the first two moments of target model estimators. In addition to the impact of simultaneity, autocorrelation and lagged dependent variables on the estimators, evidence is also accumulated on the small sample effects of misspecification in terms of the faulty inclusion and deletion of regressors. The results of the experiments revealed the substantial impact which autocorrelation can have on ordinary least squares (OLS) and two-stage least squares (2SLS) in terms of efficiency loss. Averaging over all the coefficients in the models, estimators which take account of both autocorrelation and simultaneity had a relative efficiency factor of about 1.5 to 1.9. Many of the parameters in the Monte Carlo model (including misspecification errors, multicollinearity) had qualitatively the same effect on bias and dispersion properties of the estimators.     

In search of an evolutionary edge: trading with a few, more, or many

Consider a population of farmers who live around a lake. Each farmer engages in trade with his m adjacent neighbors, where m is termed the “span of interaction.” Trade is governed by a prisoner’s dilemma “rule of engagement.” A farmer’s payoff is the sum of the payoffs from the m prisoner’s dilemma games played with his ^m/₂^m/_2 neighbors to the left, and with his ^m/₂^m/_2 neighbors to the right. When a farmer dies, his son takes over. The son who adheres to his father’s span of interaction decides whether to cooperate or defect by considering the actions taken and the payoffs received by the most prosperous member of the group comprising his father and his father’s m trading partners. Under a conventional structure of payoffs, it is shown that a large span of interaction is detrimental to the long-run coexistence of cooperation and defection, and conditions are provided under which the social outcome associated with the expansion of trade when individuals trade with a few is better than that when they trade with many. Under the stipulated conditions it is shown, by means of a static comparative analysis of the steady state configurations of the farmer population, that an expansion of the market can be beneficial in one context, detrimental in another.     

Dynamic bilateral bargaining under private information with a sequence of potential buyers

A seller owning a single, indivisible asset faces the random arrival of privately informed buyers, with whom he can bargain sequentially. Our key result is that despite the arrival of alternative buyers the Coase conjecture continues to hold under stationary strategies if the distribution of buyer valuations has convex support: Negotiations end almost immediately and the asset is sold almost at the minimum of the seller's own reservation value and the lowest possible valuation of a buyer. We also show existence of multiple stationary equilibria, though, in the special case where the support of buyers' valuations exhibits a sufficiently large “interior gap”. Taken together, our findings thus also point to a potential pitfall when analyzing only two-type distributions in more applied work.     

Trading with a common agent under complete information: A characterization of Nash equilibria

We analyze an abstract model of trading where N principals submit quantity-payment schedules that describe the contracts they offer to an agent, and the agent then chooses how much to trade with every principal. This represents a special class of common agency games with complete information. We study all the subgame perfect Nash equilibria of these games, not only truthful ones, providing a complete characterization of equilibrium payoffs. In particular, we show that the equilibrium that is Pareto-dominant for the principals is not truthful when there are more than two of them. We also provide a partial characterization of equilibrium strategies.     

Cost-effectiveness of a continuous glucose monitoring system with trending and rate information to predict hypoglycaemia and hyperglycaemia in pregnant women with insulin-dependent diabetes mellitus

Summary

This study seeks to determine the cost-effectiveness of the FreeStyle Navigator? continuous glucose monitoring system compared with self-monitoring of blood glucose (SMBG) when predicting hypoglycaemia and hyperglycaemia in pregnant women with insulin-dependent diabetes mellitus. A Markov model was constructed, and initial model analysis demonstrates that use of the FreeStyle Navigator? by a patient who is trained in diabetes management is more cost-effective than SMBG, resulting in an incremental cost-effectiveness ratio of $267 per quality-adjusted life-month ($3,204 per quality-adjusted life-year). The real-time glucose level rate of change and trend information provided by the FreeStyle Navigator? allows appropriately trained patients to improve upon decisions regarding self-treatment to prevent hypoglycaemic and hyperglycaemic episodes, resulting in a lower treatment cost and higher effectiveness than untrained patients. Based on current performance attributes, a device such as the FreeStyle Navigator? would be more cost-effective than other glucose-monitoring devices, meeting the $50,000/QALY willingness-to-pay threshold used by payers for adoption of new technology.     

银行主导融资下企业债券市场的发展:替代还是互补——从契约期限看银行贷款和企业债券的选择

基于对银行主导的金融格局及企业融资偏好的分析,发现银行贷款在公司债务融资中占有绝大部分.这和传统理论所突出的公司债券相对于银行贷款具有比较优势是不相符的.从契约期限角度可推出银行贷款契约和企业债券契约的关系,即银行贷款在短期债务中具有比较优势,而企业债券在长期债务中具有比较优势.我国企业债券市场和银行信贷市场是一种静态的替代关系和动态的互补关系.这为我国企业债券市场的发展提供了一个新的思路.