Knight, J. and Satchell, Stephen E. (2012) The properties of double-blind Dutch auctions in a clearing house; some new results for the Mendelson Model. Working Paper. Birkbeck College, University of London, London, UK.
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Abstract
In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories of crossing, extending Mendelson’s results which are based on a single category of crossing. Secondly, conditioning on quantity, we derive the joint distribution of the relevant demand and supply prices associated with such two-sided markets originally described by Bohm-Bawerk (1891). The distributional result is extended to the case where the limit orders on different sides of the market arrive at different rates. Finally, we derive the distributional properties of the price elasticities.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | Double-Blind Dutch Auction, Poisson processes, demand and supply, alternating renewal processes |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 11 Jan 2013 13:55 |
| Last Modified: | 02 Aug 2023 17:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/5958 |
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