NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Caio Waisman

Department of Economics
Stanford University
579 Serra Mall
Stanford, CA 94305

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Institutional Affiliation: Stanford University

NBER Working Papers and Publications

June 2018The Simple Empirics of Optimal Online Auctions
with Dominic Coey, Bradley Larsen, Kane Sweeney: w24698
We study reserve prices computed to maximize the expected profit of the seller based on historical observations of incomplete bid data typically available to the auction designer in online auctions for advertising or e-commerce. This direct approach to computing reserve prices circumvents the need to fully recover distributions of bidder valuations. We derive asymptotic results and also provide a new bound, based on the empirical Rademacher complexity, for the number of historical auction observations needed in order for revenue under the estimated reserve price to approximate revenue under the optimal reserve arbitrarily closely. This simple approach to estimating reserves may be particularly useful for auction design in Big Data settings, where traditional empirical auctions methods may ...
 
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