Adversarial Risk Analysis for Auctions Using Mirror Equilibrium and Bayes Nash Equilibrium

In this paper, we use the adversarial risk analysis (ARA) methodology to model first-price sealed-bid auctions under quite realistic assumptions. We extend prior work to find ARA solutions for mirror equilibrium and Bayes Nash equilibrium solution concepts, not only for risk-neutral but also for risk-averse and risk-seeking bidders. We also consider bidders having different wealth and assume that the auctioned item has a reserve price.

Econometrics of Auctions and Nonlinear Pricing

This review surveys the growing literature on the econometrics of first-price sealed-bid auctions and nonlinear pricing. The complexity of the economic models has initiated fruitful collaborations between econometrics and empirical research. We review the benchmark models and their extensions, the identification of the model primitives, and their nonparametric and semiparametric estimation. We discuss the future of the field, which goes beyond auctions and nonlinear pricing, as both can be viewed as economic mechanisms for price formation, allocation, and market organization.