Sequential Auctions with Ambiguity: Theory and Empirical Analysis

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Date: December 5, 2019
Time: 12:30 p.m. - 2:00 p.m.
Location: Faculty/Administration #4339 | Map
656 W. Kirby
Detroit, MI 48202
Category: Seminar

Heng Liu

Department of Economics

University of Michigan


Sequential Auctions with Ambiguity:  Theory and Empirical Analysis

This paper studies sequential auctions in the presence of Knightian uncertainty about the distribution of values. We propose equilibrium notions based on the multiple selves approach to deal with the possible time inconsistency that arises with dynamic bidding for max-min bidders. We characterize the unique symmetric equilibrium and show that it is robust to different specifications of preferences. The model delivers rich testable implications: on the practical side, declining prices imply that bidders’ worst-case belief first-order stochastically dominates the true distribution of values; on the theoretical side, dynamic inconsistency, which can arise when bidders have multiple priors, generates history dependence in bidding strategies.


Shooshan Danagoulian




Current students, Faculty