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Strategic Supply Function Competition with Private Information

Vives, Xavier - 2009

A finite number of sellers (n) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the system. A Bayesian supply function equilibrium is characterized; the equilibrium is privately...

Persistent link: https://www.econbiz.de/10014202206

Price Dynamics on a Stock Market with Asymmetric Information

De Meyer, Bernard - 2007

The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa … the price dynamics: the price process will be, as defined in this paper, a continuous martingale of maximal variation …. This class of dynamics contains in particular Black and Scholes' as well as Bachelier's dynamics. The main result in this …

Persistent link: https://www.econbiz.de/10014052529

Selling to Intermediaries : Optimal Auction Design in a Common Value Model

Bergemann, Dirk - 2017

We characterize revenue maximizing auctions when the bidders are intermediaries who wish to resell the good. The bidders have differential information about their common resale opportunities: each bidder privately observes an independent draw of a resale opportunity, and the highest signal is a...

Persistent link: https://www.econbiz.de/10012949875

Revenue Guarantee Equivalence

Bergemann, Dirk - 2018

We revisit the revenue comparison of standard auction formats, including first-price, second-price, and English auctions. We rank auctions according to their revenue guarantees, i.e., the greatest lower bound of revenue across all informational environments, where we hold fixed the distribution...

Persistent link: https://www.econbiz.de/10012918269

Counterfactuals with Latent Information

Bergemann, Dirk - 2019

We describe a methodology for making counterfactual predictions when the information held by strategic agents is a latent parameter. The analyst observes behavior which is rationalized by a Bayesian model in which agents maximize expected utility, given partial and diﬀerential information...

Persistent link: https://www.econbiz.de/10012892592

Minimally Complex Exchange Mechanisms : Emergence of Prices, Markets, and Money

Dubey, Pradeep K. - 2014

We consider abstract exchange mechanisms wherein individuals submit "diversified" offers in m commodities, which are then redistributed to them. Our first result is that if the mechanism satisfies certain natural conditions embodying "fairness" and "convenience" then it admits unique prices, in...

Persistent link: https://www.econbiz.de/10013055725

Counterfactuals with Latent Information

Bergemann, Dirk - 2019

Persistent link: https://www.econbiz.de/10012893994

Money as Minimal Complexity

Dubey, Pradeep K. - 2015

We consider mechanisms that provide traders the opportunity to exchange commodity i for commodity j, for certain ordered pairs ij. Given any connected graph G of opportunities, we show that there is a unique mechanism M_G that satisfies some natural conditions of "fairness" and "convenience."...

Persistent link: https://www.econbiz.de/10013027825

First Price Auctions with General Information Structures : Implications for Bidding and Revenue

Bergemann, Dirk - 2015

This paper explores the consequences of information in sealed bid first price auctions. For a given symmetric and arbitrarily correlated prior distribution over valuations, we characterize the set of possible outcomes that can arise in a Bayesian equilibrium for some information structure. In...

Persistent link: https://www.econbiz.de/10013017815

First Price Auctions with General Information Structures : Implications for Bidding and Revenue

Bergemann, Dirk - 2016

We explore the impact of private information in sealed-bid first-price auctions. For a given symmetric and arbitrarily correlated prior distribution over values, we characterize the lowest winning-bid distribution that can arise across all information structures and equilibria. The information...

Persistent link: https://www.econbiz.de/10012992717