Journal article

Asymptotically optimal prior-free clock auctions

Simon Loertscher, Leslie M Marx

Journal of Economic Theory | Elsevier | Published : 2020

Abstract

Clock auctions have a number of properties that make them attractive for practical purposes. They are weakly group strategy-proof, make bidding truthfully an obviously dominant strategy, and preserve trading agents' privacy. However, optimal reserve prices and stopping rules depend on the details of underlying distributions, and so clock auctions have proved challenging to implement in a prior-free, asymptotically optimal way. In this paper, we develop a prior-free clock auction that is asymptotically optimal by exploiting a relationship between hazard rates and the spacings between order statistics. Extensions permit price discrimination among heterogeneous groups, minimum revenue threshold..

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University of Melbourne Researchers

Grants

Awarded by European Research Council


Awarded by Australian Research Council


Funding Acknowledgements

We thank Alessandro Pavan (the editor), three anonymous referees, Salvador Barbera, Arthur Campbell, Matt Jackson, Shengwu Li, Claudio Mezzetti, Paul Milgrom, Ellen Muir, Andras Niedermayer, Stefan Reichelstein, Patrick Rey, Larry Samuelson, Mark Satterthwaite, Ilya Segal, Thomas Troger, Rakesh Vohra, Steve Williams, Robert Wolpert, and seminar participants at the Australian National University, Northwestern University, Toulouse School of Economics, University of Florida, University of Melbourne, University of Rochester, University of Sydney, University of Technology in Sydney, University of Texas, the 2015 Decentralization Conference at Northwestern, the 2015 MaCCI Summer Institute, the 2015 EARIE Conference in Munich, the 2015 IO Theory Conference at Columbia, the 2016 Workshop on Auctions and Market Design at the University of Vienna, and the 2017 Australasian Economic Theory Workshop in Auckland for helpful comments. We gratefully acknowledge support from the European Research Council under the Grant Agreement no. 340903, from the Samuel and June Hordern Endowment, from the Faculty of Business and Economics at the University of Melbourne via an Eminent Research Scholar Grant, and from the Australian Research Council under a Discovery Project Grant DP200103574. Bing Liu provided outstanding research assistance.