Simulation of sequential auction markets using priced options to reduce bidder exposure

Lonneke Mous*, Valentin Robu, Han La Poutré

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientificpeer-review


This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face in sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers. We then perform a comprehensive experimental analysis of our mechanism for different market settings, both with a single synergy bidder, as well as with multiple synergy bidders are active simultaneously. By comparison to our previous work [18, 17], this paper does not focus on analytical results and detailed proofs for the theorems (which are comprehensively reported in Mous et. al. '08 [18]), but it does give more detailed experimental results than reported in previous wok.

Original languageEnglish
Title of host publicationInnovations in Agent-Based Complex Automated Negotiations
EditorsTakayuki Ito
Number of pages25
Publication statusPublished - 2010
Externally publishedYes

Publication series

NameStudies in Computational Intelligence
ISSN (Print)1860-949X


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