Price Formation and its Dynamics in Dutch Auctions

摘要：

The research uses flower auction data from KIFA to study the price formation process in Dutch auctions. Using ARIMA model, we find that the auction prices are highly correlated and the prices follow an AR(1, 0, 0) process with coefficient 0.583. Based on it, we construct multiple linear regression equations and analyze the effect of some factors on the auction prices. The result shows that the average auction price on the previous day and the first five auction prices today have a positive impact on the tendency of the auction price today. Meanwhile, the ratio of demand to supply quantity also has a significant impact on the auction price.

作者: Li DU Ya-lan XU Na BIAN

作者单位: School of Economics and Management, Xidian University, Xi’an, China

会议类型: 国际会议

会议名称: 2011 IEEE 18th International Conference on Industrial Engineering and Engineering Management(2011 IEEE 第十八届工业工程与工程管理国际会议 IEEM2011)

会议地点: 长春

会议语种:英文

页码: 2080-2083

在线出版日期: 2011-09-03（万方平台首次上网日期，不代表论文的发表时间）