Department of Economics
579 Serra Mall
Stanford, CA 94305
Institutional Affiliation: Stanford University
NBER Working Papers and Publications
|June 2018||The 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 ...