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|Title:||Mixed strategies in discriminatory divisible-good auctions|
Discipline of Business Analytics
divisible good auction
mixed strategy equilibria
wholesale electricity markets
|Abstract:||Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the concept of offer distribution function to analyze randomized offer curves, and characterize mixed-strategy Nash equilibria for pay-as-bid auctions where demand is uncertain and costs are common knowledge; a setting for which pure-strategy supply function equilibria typically do not exist. We generalize previous results on mixtures over horizontal offers as in Bertrand-Edgeworth games, but more importantly we characterize novel mixtures over partly increasing supply functions.|
|Department/Unit/Centre:||Discipline of Business Analytics|
|Type of Work:||Working Paper|
|Appears in Collections:||Working Papers - Business Analytics|
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|OMWP_2009_02 v2.pdf||578.85 kB||Adobe PDF||View/Open|
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