Topic
Bidding
About: Bidding is a research topic. Over the lifetime, 15371 publications have been published within this topic receiving 294233 citations. The topic is also known as: competitive bidding.
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TL;DR: The authors empirically measured the effects of increasing competition on equilibrium bidding in procurement auctions in common-value auctions and found that the winner's curse counsels more conservative bidding as the number of competitors increases.
Abstract: We empirically measure the effects of increasing competition on equilibrium bidding in procurement auctions In common-value auctions the winner's curse counsels more conservative bidding as the number of competitors increases First we estimate the structural parameters of an equilibrium bidding model and test for the importance of common-value components in bidders' preferences Second we use these estimates to calculate the effects of increasing competition on both individual bids as well as winning bids ie procurement costs We analyze bid data from construction procurement auctions run by the New Jersey transportation department Our results indicate that for a large subset of these auctions the median procurement cost rises as competition intensifies: increasing the number of bidders from 3 to 6 raises median procurement costs by about 15% In this setting then asymmetric information overturns the common economic wisdom that more competition is always desirable
222 citations
TL;DR: In this article, a stochastic linear programming model for constructing piecewise-linear bidding curves to be submitted to Nord Pool, which is the Nordic power exchange, is proposed.
Abstract: We propose a stochastic linear programming model for constructing piecewise-linear bidding curves to be submitted to Nord Pool, which is the Nordic power exchange. We consider the case of a price-taking power marketer who supplies electricity to price-sensitive end users. The objective is to minimize the expected cost of purchasing power from the day-ahead energy market and the short-term balancing market. The model is illustrated using a case study with data from Norway.
221 citations
TL;DR: The Seller's optimal bidding and Buyers' optimal contracting strategies in a von Stackelberg game with the Seller as the leader are derived and it is shown that Buyer's optimal reservation level follows an index that combines the Seller's reservation and execution cost.
221 citations
18 May 2020
TL;DR: This work highlights the large, complex risks created by transaction-ordering dependencies in smart contracts and the ways in which traditional forms of financial-market exploitation are adapting to and penetrating blockchain economies.
Abstract: Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems.Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of arbitrage bots in blockchain systems, specifically in decentralized exchanges (or "DEXes"). Like high-frequency traders on Wall Street, these bots exploit inefficiencies in DEXes, paying high transaction fees and optimizing network latency to frontrun, i.e., anticipate and exploit, ordinary users’ DEX trades.We study the breadth of DEX arbitrage bots in a subset of transactions that yield quantifiable revenue to these bots. We also study bots’ profit-making strategies, with a focus on blockchain-specific elements. We observe bots engage in what we call priority gas auctions (PGAs), competitively bidding up transaction fees in order to obtain priority ordering, i.e., early block position and execution, for their transactions. PGAs present an interesting and complex new continuous-time, partial-information, game-theoretic model that we formalize and study. We release an interactive web portal, frontrun.me, to provide the community with real-time data on PGAs.We additionally show that high fees paid for priority transaction ordering poses a systemic risk to consensus-layer security. We explain that such fees are just one form of a general phenomenon in DEXes and beyond—what we call miner extractable value (MEV)—that poses concrete, measurable, consensus-layer security risks. We show empirically that MEV poses a realistic threat to Ethereum today.Our work highlights the large, complex risks created by transaction-ordering dependencies in smart contracts and the ways in which traditional forms of financial-market exploitation are adapting to and penetrating blockchain economies.
220 citations
TL;DR: An abstract market model for demand response where a supply function bidding is applied to match power supply deficit or surplus is considered and it is shown that the equilibrium in competitive market maximizes social welfare and in oligopolistic market has bounded efficiency loss.
Abstract: In this paper, we consider an abstract market model for demand response where a supply function bidding is applied to match power supply deficit or surplus. We characterize the resulting equilibria in competitive and oligopolistic markets and propose distributed demand response algorithms to achieve the equilibria. We further show that the equilibrium in competitive market maximizes social welfare, and the equilibrium in oligopolistic market has bounded efficiency loss under certain mild assumptions. We also propose distributed demand response algorithms to achieve the equilibria.
219 citations