Analysing Bidder Performance in Randomised and Fixed-Deadline Automated Auctions

The rule with which automated computerised auctions are closed play an important role in determining bidder strategies and auction outcomes. In this paper we examine two such rules: auctions with randomised closing times and fixed deadlines. To this end, stochastic models of auctions with discrete state-space representing the prices attained are developed and analysed. The models allow us to determine the stationary probabilistic outcomes of the auctions, which are used to examine the bidder performance, measured as the savings it makes with respect to the maximum payable or its payoff. For this purpose, one bidder is singled out as the "special bidder" (SB) and its performance is studied as a function of the speed with which it raises the price, or its bid rate. The results show that with random closures, the SB has incentives to place bids promptly to obtain high savings; on the other hand, with fixed deadline auctions, the SB should choose its bid rate with respect to the other system parameters in order to maximise payoffs.