End Of Auction Research Articles

Does Random Auction Ending Curb Stock Price Manipulation?

This paper examines the effect on stock market efficiency and potential market manipulation of introducing a random ending time for the call auctions that start and end continuous trading on three equity markets. We find that the probability of a price dislocation at the end of the auction declines, indicating a lower risk of market manipulation. In addition, the variance ratio and market-adjusted return volatility measures decrease, suggesting a more efficient and less volatile price discovery process. We confirm a behavioral change in order submissions by observing the timing of order entry, amendments, and deletions on one of the exchanges for which we have access to order data. Overall, our results indicate that adding a random auction ending time can reduce the risk of stock market manipulation and improve price efficiency.

Online Auctions End Time and its Impact on Sales Success – Analysis of the Odds Ratio on a Selected Central European Market

Abstract Research background: E-commerce is developing rapidly, especially during the Covid19 pandemic. This fact can benefit individuals who want to sell their already used goods. Importantly, for sellers, it is not always a priority to get the highest price, but sometimes it is simply effective to get rid of the goods at a satisfactory price. Purpose: The aim of this article is to analyze the impact of the broadly understood time of the end of the online auction on the success or failure of a sale. Research methodology: In the study, the raw odds ratio was used for the effect of a single variable. Next, the impact of specific variables within the set of risk factors was determined using the logistic regression. Results: Auctions ending in the evening were found to be more than 150% more likely to be successful, while night hours reduced the chance of success by 50%. The day’s most favorable for sales are Monday and Tuesday, the opposite pattern was observed for Wednesday, Thursday and Friday. An interesting relationship was found for the second half of the month, which increased the possibility of selling the goods by over 20%. Novelty: In the literature there are almost none that would focus on the analysis of the possibility of ending the auction with a sale (i.e. success) in the context of the auction end time on the Central European market. This issue is usually discussed on the side and has not been analyzed comprehensively – this paper is a step forward in this direction.

The reference price effect of historical price lists in online auctions

This study investigates the reference price effect of historical price lists—which are provided in the auction description—on ending prices. This paper estimates and compares three different theories for the reference price effect of price lists: adaptation-level theory, range theory and range-frequency theory. In contrast to previous research, we find support for range theory. Specifically, the maximum price on the historical price list positively impacts the auction ending price, while the price range has a negative effect. Furthermore, the reference price effects are attenuated by the number of prices on the list and the type of product sold.

“Quick, that auction ends soon!” finding low-cost teaching materials for special collections librarians

ABSTRACT Despite curtailed budgets, academic libraries can create new or augmented instructional platforms and expand their institutional offerings with low-cost collections acquisitions obtained from commercial internet auction sites, flea markets, and retail sites. Using these low cost acquisitions, librarians can create numerous interactive, primary research exercises that result in enhanced special collections use and improved student engagement.

Do Intra-day Auctions Improve Market Liquidity?

The intra-day auction launched by the London Stock Exchange (LSE) on 21 March 2016 was designed as a mechanism to boost midday liquidity. During the auction time, Multilateral Trading Facilities (MTFs) as competitors of the LSE, continue their normal trading. We examine the midday liquidity changes on both the LSE and MTFs and analyze their implications on platform competition. The intra-day auction in general improves liquidity at midday on both the LSE and MTFs. The intra-day auction helps consolidate the primary status of the LSE by increasing its market share at midday. Liquidity on MTFs drops considerably during the auction and bounces back toward the normal level when the auction ends. Overall, the midday liquidity patterns indicate the LSE's competitive advantages over MTFs in providing market liquidity after the launch of the intra-day auction.

Do intra-day auctions improve market liquidity?

The intra-day auction launched by the London Stock Exchange (LSE) on 21 March 2016 was designed as a mechanism to boost midday liquidity. During the auction time, Multilateral Trading Facilities (MTFs) as competitors of the LSE, continue their normal trading. We examine the midday liquidity changes on both the LSE and MTFs and analyze their implications on platform competition. The intra-day auction in general improves liquidity at midday on both the LSE and MTFs. The intra-day auction helps consolidate the primary status of the LSE by increasing its market share at midday. Liquidity on MTFs drops considerably during the auction and bounces back toward the normal level when the auction ends. Overall, the midday liquidity patterns indicate the LSE's competitive advantages over MTFs in providing market liquidity after the launch of the intra-day auction.

The effect of competition on discrimination in online markets-Anonymity and selection.

Empirical studies show that discrimination by identity found in offline markets also prevails online. This paper reveal that in a competitive market, buyers that intend to discriminate exist but they are prevented from influencing the market outcome. To this end, we construct a field experiment on eBay, where half of the sellers disclose their names in their usernames while the other half do not. eBay, however, automatically discloses the seller’s names to the buyer after the auction. In the anonymous auctions, winning bidders thus learn the identity of the seller after the auction ends, and here we find buyers to discriminate against sellers with foreign-sounding names by leaving them feedback less often. However, there is no such discrimination in feedback provision when the seller name was known to the buyer before the auction. When bidders know the names of the sellers, the bidders with animus towards individuals with specific names can select out of auctions from these sellers, leaving winners that do not discriminate. One would expect that the auctions of for example sellers with foreign-sounding names would receive fewer bidders and thus lower auction prices. However, we observe no such differences: there are no statistically significant differences in the number of bids or auction prices received by sellers with foreign or domestic sounding names.

The Benefits of European Periodic Auctions beyond MiFID Dark Trading Caps

Initially designed as a better alternative than dark trading, the success of periodic auctions has spread across all European stocks. On capped stocks, the market share of periodic auctions rose from 1 to 4.5 percent between early March and September 2018. Nevertheless, on uncapped stocks, periodic auctions doubled in popularity from 0.75 to 1.5 percent over the same period. The random auction end time prevents adverse selection, as shown by the price reversion. In lit and dark trading, passive buy trades are followed by a strong drop in midpoint due to the aggressive sellers. In contrast, periodic auction trades show almost no sign of adverse selection. This feature derives from the random end time of the auction, which creates a level playing field for all market participants. Based on Kepler Cheuvreux trades, this study shows that periodic auction participation mitigates the market impact. In addition, using public market data, this study shows that, on average, trading intensity diminishes after a periodic auction trade while it increases after a dark trade. TOPICS:Exchanges/markets/clearinghouses, security analysis and valuation, developed markets, performance measurement

Can Random Auction Ending Curb Market Manipulation?

This paper examines whether a randomized auction ending time reduces market manipulation. Using the random auction ending rule implemented on the Singapore Exchange, we examine changes in indicators of market manipulation and market efficiency. We find that end of day price swings and price dislocation probability both declined, suggesting a lower risk of market manipulation. In addition, the variance ratio and market-adjusted return volatility measures have decreased indicating a more efficient and less volatile price discovery process. We do note that there are still telltale signs of manipulation in the pre-auction opening and pre-closing phase suggesting that the length of time of this phase is important. Overall, our results indicate that the randomized auction ending can curb market manipulation and improve price efficiency.

Effective selling strategies for online auctions on eBay: a comprehensive approach with CART model

Most existing studies on selling strategies in online auctions do not distinguish auction heterogeneity when providing operational selling recommendations. They also tend to assume single objective for sellers. In this study, we incorporate seller and product heterogeneity into our analytical framework and implement data mining analysis in four auction segments. We use classification and regression tree (CART) to identify the critical factors along with their sequences for auction success and prices. We find different determinants for auction success and ending prices in these four auction segments. The classification and regression trees provide operational choices for sellers to build the most effective selling strategies. We propose that, by using expected auction prices with the classification and regression trees, sellers can integrate auction success and prices as multiple objectives in their selling strategies. Overall, this study contributes to the literature by providing an innovative methodology for effective selling recommendations, which can potentially lead to significant and smooth growth of the online auction market.

A Run-Time Algorithm for Detecting Shill Bidding in Online Auctions

Online auctions are a popular and convenient way to engage in ecommerce. However, the amount of auction fraud has increased with the rapid surge of users participating in online auctions. Shill bidding is the most prominent type of auction fraud where a seller submits bids to inflate the price of the item without the intention of winning. Mechanisms have been proposed to detect shill bidding once an auction has finished. However, if the shill bidder is not detected during the auction, an innocent bidder can potentially be cheated by the end of the auction. Therefore, it is essential to detect and verify shill bidding in a running auction and take necessary intervention steps accordingly. This paper proposes a run-time statistical algorithm, referred to as the Live Shill Score, for detecting shill bidding in online auctions and takes appropriate actions towards the suspected shill bidders (e.g., issue a warning message, suspend the auction, etc.). The Live Shill Score algorithm also uses a Post-Filtering Process to avoid misclassification of innocent bidders. Experimental results using both simulated and commercial auction data show that our proposed algorithm can potentially detect shill bidding attempts before an auction ends.

Online Auctions and Multichannel Retailing

The Internet enables sellers to offer products through multiple channels simultaneously. In particular, many sellers utilize online auctions in parallel to an offline channel in which they offer the item for a fixed price. Using search theory, we develop an analytical model for studying sellers’ pricing decisions and auction outcomes in the context of such multichannel retailing. Our analytical model provides a framework for studying how characteristics of the demand in an offline retail sales channel impact the seller’s optimal reserve price in the auction channel, the probability that an auction ends in a sale, the probability that an item is sold through the auction channel, and the auction expected sale price. We then utilize data from eBay Motors auctions and examine empirically how the quality of a sellers’ retail location impacts the seller’s auctions outcomes. The results of our empirical analysis match the predictions of the analytical model. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2732 . This paper was accepted by Chris Forman, information systems.

Procurement auctions with ex post cooperation between capacity constrained bidders

The use of procurement auctions is a common practice for firms to procure goods and services. In this paper, we consider a first-price sealed-bid procurement auction consisting of two bidders with limited capacities. Each bidder is not able to complete the auctioned project on its own due to its capacity constraint. Upon the auction ends, the winning bidder has the option of cooperating with the losing bidder to fulfill the project. We investigate how the ex post cooperation affects bidders’ bidding strategies and equilibrium profits as well as the competition intensity of the auction. Surprisingly, we find that a bidder’s profit at equilibrium may decrease in its capacity level and increase in its unit cost. This is because a bidder’s larger capacity or smaller unit cost would lower the other bidder’s cost to complete the project due to the presence of cooperation, and thus intensify the competition between bidders. We also find that the winning bid price may become higher or lower (depending on bidders’ characteristics) when bidders have the option of ex post cooperation. Further, it is shown that the bidder with a cost advantage may be hurt by the ex post cooperation.

New Privacy-Preserving Ascending Auction for Assignment Problems

We introduce a new ascending auction that allocates heterogeneous objects among bidders with purely private unit demands. Our auction design differs from existing dynamic auctions in a number of ways: it economizes on information solicited from bidders by requiring marginal bidders to reveal a single new bid at a time; it uses a transparent price adjustment process; and it allows the seller to set starting prices above his reservation valuations. Despite these new features, (i) the auction stops in a finite time, (ii) sincere bidding is an ex-post Nash equilibrium, (iii) the auction ending prices and revenue depend only on bidders valuations and starting prices, and (iv) the auction is efficient if it starts with the seller’s valuations.

Sequential information disclosure in auctions

We propose a sequential auction mechanism for a single object in which the seller jointly determines the allocation and the disclosure policy. A sequential disclosure rule is shown to implement an ascending price auction in which each losing bidder learns his true valuation, but the winning bidder's information is truncated from below. As the auction ends, the winning bidder only has limited information, namely that his valuation is sufficiently high to win the auction. The sequential mechanism implements the allocation of the handicap auction of Eső and Szentes (2007) but strengthens the participation constraints of the bidders from interim to posterior constraints. Due to the limited disclosure of information, the participation constraints (and incentive constraints) of all the bidders are satisfied with respect to all information revealed by the mechanism. In the special case in which the bidders have no private information initially, the seller can extract the entire surplus.

A semiparametric varying coefficient model of monotone auction bidding processes

We propose an econometric model of the price processes of online auctions. Since auction bids monotonically increase within individual auctions but can differ considerably across auctions, we construct a monotone series estimator with a common relative price growth curve and auction-specific slopes. Furthermore, because the impacts of auction-specific attributes may evolve along the course of auctions, we employ a varying coefficient approach to accommodate these possibly time-varying effects. We present an algorithm to solve the proposed partially linear panel model with a nonparametric monotone component. We apply the proposed model to eBay auctions of a Palm personal digital assistant. The estimates capture closely the overall pattern of online auction price processes, in particular, the bidding drought midway through auctions and the bid acceleration associated with bid sniping (last-minute bidding) at the end of auctions.

A Simple Ascending Auction for Assignment Problems

We introduce a simple ascending auction that allocates heterogeneous objects among bidders with purely private unit demands. Our auction design differs from existing dynamic auctions in a number of ways: it solicits a single new bid from selected bidders at a time, thus minimizing bidder information revelation; it uses a simple and intuitive price adjustment procedure; the seller can set starting prices above his valuations. Despite these new features, (i) the auction stops in a finite time, (ii) sincere bidding at every stage of the auction is an ex-post Nash equilibrium, and (iii) for given valuations, the auction ending prices and revenue depend only on starting prices. We establish sincere bidding and path-independent ending prices using simple combinatorial arguments.

Seller heterogeneity in electronic marketplaces: A study of new and experienced sellers in eBay

Most online auction studies focus on the buyer side of the marketplace. To bridge the imbalance gap, we investigate seller behavior in this research. Specifically emphasized on seller heterogeneity, an area that has not been well studied in the electronic marketplace literature, this study classifies sellers into new and experienced seller groups and compares their auction performance based on three outcome measures: success rates, ending prices, and feedback ratings. We find that the performance of new sellers is worse than that of experienced sellers in all three measures, namely, lower auction success rates, lower auction ending prices, less likely to receive positive feedback ratings and more likely to receive negative feedback ratings. We also show the dynamics of these auction performances while new sellers evolve into experienced ones. Our empirical analysis reveals structural differences in auction success and price determinants between new and experienced sellers. That is, the determining factors for auction success and ending prices are significantly different between the two seller groups. We also identify several key factors for non-positive (i.e. neutral or negative) feedback ratings received by the two groups and find no significant difference between these factors for both new and experienced sellers. We believe our findings in this study have significant implications to the online auction house and sellers, and contribute towards building more effective and efficient electronic marketplaces.

A Matter of Transient Anonymity: Discrimination by Gender and Foreignness in Online Auctions

This study shows that transient anonymity affects buyer discrimination based on seller’s gender and foreignness in online auctions. Sellers’ names are categorized by gender and foreignness. Half of the sellers’ disclose their names in the usernames and the other half employ anonymous usernames, concealing gender and foreignness. After the price is set and the auction ends, the seller’s name is always disclosed to the buyer by eBay. We explore buyers’ discrimination in willingness to pay, measured as price. Furthermore, we study how buyers’ discrimination in providing feedback is affected by sellers having an anonymous username or not (measured after seller name is known to the buyer). Our results indicate only some evidence of buyer discrimination in willingness to pay. However, interestingly we find that anonymity matters for discrimination; among sellers employing anonymous usernames male sellers with foreign-sounding names receive fewer pieces of feedback than non-foreign female sellers. This is not found among groups of sellers whose names were revealed in the usernames. This discrimination is only present among female and not among male buyers.

Online Auctions and Multichannel Retailing

The Internet enables sellers to offer products through multiple channels simultaneously. In particular, many sellers utilize online auctions in parallel to other online and offline channels. Using an analytical model and data from eBay Motors, we study seller behavior and auction outcomes in the context of multichannel retailing. Our model shows that seller characteristics which affect the distribution and volume of offers in the non-auction channels impact the probability an auction ends in a sale, the probability an item is sold through the auction channel, and the sale price in case of a sale. The impact on the two probabilities can be negative or positive and depends on whether the seller manages the channels jointly or separately. Our empirical analysis examines how the quality of the seller’s retail location and her electronic commerce capabilities (i.e., two seller characteristics influencing demand in non-auction channels) impact the auction channel outcomes. The results confirm the joint channel management strategy considered in the analytical model.