Multiagent system simulations of sealed-bid, English, and treasury auctions

dc.contributor.authorMehlenbacher, Alan
dc.contributor.supervisorScoones, David
dc.date.accessioned2007-11-26T16:48:41Z
dc.date.available2007-11-26T16:48:41Z
dc.date.copyright2007en_US
dc.date.issued2007-11-26T16:48:41Z
dc.degree.departmentDept. of Economicsen_US
dc.degree.levelDoctor of Philosophy Ph.D.en_US
dc.description.abstractI have developed a multiagent system platform that provides a valuable complement to the alternative research methods. The platform facilitates the development of heterogeneous agents in complex environments. The first application of the multiagent system is to the study of sealed-bid auctions with two-dimensional value signals from pure private to pure common value. I find that several auction outcomes are significantly nonlinear across the two-dimensional value signals. As the common value percent increases, profit, revenue, and efficiency all decrease monotonically, but they decrease in different ways. Finally, I find that forcing revelation by the auction winner of the true common value may have beneficial revenue effects when the common-value percent is high and there is a high degree of uncertainty about the common value. The second application of the multiagent system is to the study of English auctions with two-dimensional value signals using agents that learn a signal-averaging factor. I find that signal averaging increases nonlinearly as the common value percent increases, decreases with the number of bidders, and decreases at high common value percents when the common value signal is more uncertain. Using signal averaging, agents increase their profit when the value is more uncertain. The most obvious effect of signal averaging is on reducing the percentage of auctions won by bidders with the highest common value signal. The third application of the multiagent system is to the study of the optimal payment rule in Treasury auctions using Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.en_US
dc.identifier.urihttp://hdl.handle.net/1828/255
dc.languageEnglisheng
dc.language.isoenen_US
dc.rightsAvailable to the World Wide Weben_US
dc.subjectagent-based computational economicsen_US
dc.subjectimpulse balance learningen_US
dc.subjectmulti-dimensional value signalsen_US
dc.subjectsealed-bid auctionsen_US
dc.subjectEnglish auctionsen_US
dc.subjectsignal averagingen_US
dc.subjecttreasury auctionsen_US
dc.subjectauction contexten_US
dc.subject.lcshUVic Subject Index::Humanities and Social Sciences::Economicsen_US
dc.titleMultiagent system simulations of sealed-bid, English, and treasury auctionsen_US
dc.typeThesisen_US

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