Endogenous Reference Price Auctions for a Diverse Set of Commodities: An Experimental AnalysisResearch Paper
Endogenous Reference Price Auctions for a Diverse Set of Commodities: An Experimental Analysis
Olivier Armantier and Charles A. Holt
This paper uses laboratory techniques to evaluate procedures for selling a heterogeneous set of commodities in auctions designed to create thick markets. “Reference prices,” based on commodity characteristics and other available information, are used to normalize bids before they are ranked. The complex, multi-dimensional nature of the commodity space creates a rich strategic environment that is well suited for testing with financially motivated human subjects. When reference prices are based on noisy value estimates, the auction performance is substantially improved by using submitted bids to adjust reference prices before the auction is cleared.
reference price auctions, mortgage backed securities, laboratory experiments
University of Virginia
The linked files provide experiment instructions. Data will be posted after publication in a refereed journal.