JSM 2005 - Toronto

Abstract #302624

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 466
Type: Invited
Date/Time: Thursday, August 11, 2005 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #302624
Title: The Bid Arrival Process in Online Auctions
Author(s): Ralph P. Russo*+
Companies: The University of Iowa
Address: 241 SH, Iowa City, IA, 52242,
Keywords: online auction ; non-homogenous Poisson process ; self-similarity.
Abstract:

We examine a three-stage, non-omogenous Poisson process that models the pure and contaminated self-similarity associated with the bid arrival time sequence in online auctions. Many such auctions feature a high level of activity in the early stages, followed by a period of low activity and a surge of last-minute bidding ("sniping") as the deadline approaches. Such auctions also commonly display a regularity in shape (self-similarity) among the distributions of bid arrival times over the final t minutes, across a wide range of ts. We investigate the probabilistic and statistical properties of the model and suggest a mechanism of individual bidder behavior that can lead to a bid arrival process possessing some of the characteristics described above.

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