Price formation and its dynamics in Dutch auctions

Author

Du, Li ; Xu, Ya-lan ; Bian, Na

Author_Institution

Sch. of Econ. & Manage., Xidian Univ., Xi´´an, China

Volume

Part 3

fYear

2011

fDate

3-5 Sept. 2011

Firstpage

2080

Lastpage

2083

Abstract

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.

Keywords

autoregressive moving average processes; commerce; pricing; regression analysis; ARIMA model; Dutch auctions; KIFA; flower auction data; multiple linear regression equations; price formation process; Agricultural products; Clocks; Economics; Educational institutions; Equations; Linear regression; Mathematical model; Auction price; Dutch auction; Flower auction;

fLanguage

English

Publisher

ieee

Conference_Titel

Industrial Engineering and Engineering Management (IE&EM), 2011 IEEE 18Th International Conference on

Conference_Location

Changchun

Print_ISBN

978-1-61284-446-6

Type

conf

DOI

10.1109/ICIEEM.2011.6035579

Filename

6035579