Please use this identifier to cite or link to this item:
http://hdl.handle.net/2123/8162
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| Title: | Mixed strategies in discriminatory divisible-good auctions |
| Authors: | Anderson, E.J. Holmberg, P. Philpott, A.B. Discipline of Business Analytics |
| Keywords: | Pay-as-bid auction divisible good auction mixed strategy equilibria wholesale electricity markets |
| Issue Date: | Nov-2009 |
| Publisher: | Business Analytics |
| Series/Report no.: | OMEWP 02/2009 |
| 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. |
| URI: | http://hdl.handle.net/2123/8162 |
| Department/Unit/Centre: | Discipline of Business Analytics |
| Type of Work: | Working Paper |
| Appears in Collections: | Working Papers - Business Analytics |
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