In markets where suppliers experience learning by doing over time or, more generally, economies of scale in production, buyers are auctioning off longer-term contracts with an eroding price policy. Under an eroding price contract, the buyer initially competitively awards production to the lowest-bid supplier via an auction. Before the auction takes place, the buyer makes it clear to the suppliers that, if chosen, a sequence of price reductions will be mandatory in subsequent periods. In this thesis, we mainly study the design of the optimal eroding price contract in a two period setting under three different model settings : (1) Every supplier faces a new cost in each period (NLI model), (2) The supplier who wins the auction in the first period locks-in his cost for the future, and the buyer makes the future payment based on the winning supplier's current bid (LI1), and (3) The supplier who wins the auction in the first period locks-in his cost for the future, and the buyer makes the future payment based on the winning supplier's actual cost (LI1). Under NLI setting, the magnitude of the cost reduction due to learning by doing is common knowledge, while the magnitude is uncertain under LI1 and LI2 settings. We also study the optimal reserve prices in sequential independent auctions under NLI setting. We go on to compare the performance of the eroding price policy against sequential independent auctions (without or with the optimal reserve prices) under the above model settings. Via analytical and numerical comparisons, we find that even in the presence of learning by doing/economies of scale in production, a buyer is often better off running sequential auctions with a reserve price, rather than limiting competition and contracting with a single supplier in the hopes of extracting a better future price.

How should we divide a good or set of goods among a set of agents? There are various constraints that we can consider. We consider two particular constraints. The first is fairness - how can we find fair allocations? The second is truthfulness - what if we do not know agents valuations for the goods being allocated? What if these valuations need to be elicited, and agents will misreport their valuations if it is beneficial? Can we design procedures that elicit agents' true valuations while preserving the quality of the allocation? We consider truthful and fair resource allocation procedures through a computational lens. We first study fair division of a heterogeneous, divisible good, colloquially known as the cake cutting problem. We depart from the existing literature and assume that agents have restricted valuations that can be succinctly communicated. We consider the problems of welfare-maximization, expressiveness, and truthfulness in cake cutting under this model. In the second part of this dissertation we consider truthfulness in settings where payments can be used to incentivize agents to truthfully reveal their private information. A mechanism asks agents to report their private preference information and computes an allocation and payments based on these reports. The mechanism design problem is to find incentive compatible mechanisms which incentivize agents to truthfully reveal their private information and simultaneously compute allocations with desirable properties. The traditional approach to mechanism design specifies mechanisms by hand and proves that certain desirable properties are satisfied. This limits the design space to mechanisms that can be written down and analyzed. We take a computational approach, giving computational procedures that produce mechanisms with desirable properties. Our first contribution designs a procedure that modifies heuristic branch and bound search and makes it usable as the allocation algorithm in an incentive compatible mechanism. Our second contribution draws a novel connection between incentive compatible mechanisms and machine learning. We use this connection to learn payment rules to pair with provided allocation rules. Our payment rules are not exactly incentive compatibility, but they minimize a measure of how much agents can gain by misreporting. / Engineering and Applied Sciences

Empirical and theoretical topics in applied microeconomics are discussed in this dissertation. The first essay identifies and measures managerial advantages from access to high-quality deals in venture capital investments. The underlying social network of Harvard Business School MBA venture capitalists and entrepreneurs is used to proxy availability of deal access. Random section assignment of HBS MBA graduates provides a key exogenous variation for identification. Being socially connected to peer venture capital firms and private equity seeking startups leads to more deal flow, larger asset under management and better performance in the inaugural funds of HBS-executive run venture capital firms. The second essay presents a two-stage model of competing ad auctions. Search engines attract users via Cournot-style competition. Meanwhile, each advertiser must pay a participation cost to use each ad platform. Advertiser entry strategies using symmetric Bayes-Nash equilibrium that lead to the Vickrey-Clarke-Groves outcome of the ad auctions are derived. Consistent with the model predictions, empirical evidence shows that multi-homing advertisers are larger than single-homing advertisers. Comparative statics on consumer choice parameters, quality, and user welfare are used to analyze the prospect of joining auctions to mitigate participation costs. The analysis provides conditions when such joins do and do not increase welfare. The third essay develops and computes a dynamic model of search in internet advertising. Micro-level browsing data from Microsoft's Bing.com (formerly known as Live.com) is used for structural estimations. The model predicts that users do not click on any ad with weak signals due to accumulating search cost and monotonicity of the value function. Rational search reveals a cascading pattern: the user clicks on a sufficiently high, highest-signal ad first, then moves on to the ad with the next highest conditionally expected probability of match once his assessment on the current ad degrades over time. The user exits when maximum assessment of likelihood of match over all ads is below a threshold value. The essay provides a novel approach to understanding rational herding behavior when product quality is only partially unraveled.

Along with the growth of electronic commerce has come an interest in developing autonomous trading agents. Often, such agents must interact directly with other market participants, and so the behavior of these participants must be taken into account when designing agent strategies. One common approach is to build a model of the market, but this approach requires the use of historical market data, which may not always be available. This dissertation addresses such a case: that of an agent entering a new market in which it has no previous experience. While the agent could adapt by learning about the behavior of other market participants, it would need to do so in an online fashion. The agent would not necessarily have to learn from scratch, however. If the agent had previous experience in similar markets, it could use this experience to tailor its learning approach to its particular situation. This dissertation explores methods that a trading agent could use to take advantage of previous market experience when adapting to a new market. Two distinct learning settings are considered. In the first, an agent acting as an auctioneer must adapt the parameters of an auction mechanism in response to bidder behavior, and a reinforcement learning approach is used. The second setting concerns agents that must adapt to the behavior of competitors in two scenarios from the Trading Agent Competition: supply chain management and ad auctions. Here, the agents use supervised learning to model the market. In both settings, methods of adaptation can be divided into four general categories: i) identifying the most similar previously encountered market, ii) learning from the current market only, iii) learning from the current market but using previous experience to tune the learning algorithm, and iv) learning from both the current and previous markets. The first contribution of this dissertation is the introduction and experimental validation of a number of novel algorithms for market adaptation fitting these categories. The second contribution is an exploration of the degree to which the quantity and nature of market experience impact the relative performance of methods from these categories. / text

The main purpose of this thesis is to investigate the viability of sculpture as a potential alternative investment. This goal is achieved through partly assessing the market quality of the auction market for sculptures and partly by studying their long-run diversification potential. The assessment of the sculpture market quality, together with the long-run co-movement analysis are objectives met through conducting four individual studies. In Paper I, I find that auction house art experts' relative estimate range positively affects realized prices. The effect is robust across the mid- low- and high-end segments of the international sculpture market. Interpreting the art experts' price estimate range as a proxy for the prevailing divergence of investor opinion in the art market, the findings are consistent with the disagreement model of Miller (1977). This evidence is contradictory to the predictions of the general auction model in Milgrom (1982) and does not lend support to the interpretation of the price estimate range as a proxy only for uncertainty. Moreover, the study gives insight into the price determinants of sculpture using a unique large dataset of over 65,000 sculpture sales at international auctions. Paper II is the first study to find evidence of a home bias in prices of art sold at international art auctions. All else equal, art prices are higher when they are auctioned in the home country of the artist compared to outside of the artist's home country. Moreover, the home bias in prices is more pronounced in the low-end sculpture market segment than in the high-end segment, indicating that familiarity can be a potential explanation of the bias. Furthermore, the home bias is found to be partly related to patriotism. The findings indicate that the home bias in prices increases as the relative level of patriotism rises in the home country of the artist, and that patriotism is a more persistent source of the home bias in art prices than familiarity. Paper III examines the absolute and time-varying weak-form market efficiency of the international sculpture auction market. The results indicate that the sculpture market efficiency varies over time lending support to the Adaptive Markets Hypothesis. Moreover, I find that the times of peaking relative market inefficiency coincide with distress in the wider economy and financial markets. Additionally, I find evidence that auction house art experts' pre-sale estimate accuracy Granger causes developments in time-varying market efficiency, highlighting the importance of art experts. Paper IV analyzes the dynamic relationship between the international sculpture market and the traditional financial investments during the period 1985-2013. Three international sculpture price indices are constructed to proxy for the general sculpture market price movements along with the low- and high-end segments of the international sculpture market. The results show that price development in the sculpture market does not move together with government bond prices in the long run. When it comes to equity markets, I find significant cointegrated dynamics between sculpture indices and the world equity markets. On the other hand, there is no such relationship when the S&P 500 is considered. Furthermore, cointegration is detected when analyzing the sculpture markets with the world GDP per capita. Granger-causality tests reveal that sculpture prices, in general, are Granger-caused by GDP per capita. Moreover, the Granger-causality tests indicate that sculpture price developments follow the world equity price movements, but not those of the S&P 500.

Recently, the American Association of State Highway and Transportation Officials (AASHTO) indicated lack of competition and single-bid contracts in asphalt paving as a major issue facing state transportation departments. Single-bid contracts indicate a lack of competition which increases costs to state and local governments. During the period from 2005-2007 in Kentucky, 42 percent of all bids were awarded with only one firm bidding on the project. Of the asphalt paving jobs, 63 percent of those jobs were awarded to a single bidder. The analysis of this dissertation focuses on detecting tacit collusion in asphalt paving jobs in Kentucky. A focal point enables firms to coordinate bids and engage in a tit-for-tat strategy where they refuse to bid in each other’s counties. In this case the focal point is the county boundaries. Two factors contribute to the ability of firms to use county boundaries to coordinate bids. The first factor is that the political county boundaries form relatively small counties which allow a firm’s service area to cover multiple counties. The firms are able to claim counties and service the projects in those counties. The second factor is that a majority of asphalt projects which the Kentucky Transportation Cabinet puts up for bidding are exclusive to a specific county. This allows firms to know whether a project falls in a county within their bidding territory. Each county and firm in each of the 12 Kentucky Transportation Cabinet geographic districts was analyzed to see if there was evidence of bid coordination. The result is that in 94 out of 120 counties there was evidence of bid coordination or tacit collusion with increases in bid levels. There is evidence that 25 of the 31 Kentucky asphalt paving firms refuse to bid against their rivals in their rival’s territories. This refusal by firms to bid against each other resulted in single-bid contracts that were $70,595,466.09 above the competitive level.

Kultūros paveldas yra kiekvienos šalies skirtingų visuomenės grupių, tautinių bendrijų, gyvenančių joje, istorinės raidos ir kūrybos rezultatas, visuomenės evoliucijos liudytojas. Pagal išlikusias materialines ir dvasines vertybes, galime daug pasakyti apie tos šalies ir joje gyvenančių tautų istorinę raidą, pasiekimus ir praradimus. Išsaugoti kultūros paveldą, kurio visumą sudaro ir dar neištirta bei nesaugoma paveldo dalis, yra vienas iš svarbiausių Lietuvos Respublikos paveldosaugos sistemos uždavinių. Kultūros paveldo įvairovė bei savitumas pasakoja apie šalies istorinę praeitį, kelia valstybės ir tautos pasididžiavimą, ugdo naujos kartos patriotizmą. Šiame darbe galime išskirti kelias problemas: 1) Išvežamų į užsienį kultūros vertybių kontrolės skyriaus veiklos įvertinimas paveldosaugos sistemoje. Įvertindami Išvežamų į užsienį kultūros vertybių kontrolės skyriaus veiklą paveldosaugos sistemoje, apžvelgsime šio skyriau nuveiktą darbą nuo 1990 iki 2005 metų.; 2) kilnojamųjų kultūros vertybių išsaugojimas Lietuvos kultūros paveldui. Šio darbo aktualumą nulemia poreikis ne tik pristatyti Išvežamų į užsienį kultūros vertybių kontrolės skyriaus veiklą, bet ir išaiškinti atliekamo darbo vertes bei svarbą didesniajai Lietuvos visuomenės daliai, tuo pačiu išsaugant kultūros vertybes Lietuvos kultūrai. Tam, kad įvyktų įpaveldinimo procesas, reikia, kad jos būtų pripažintos ir vertintinos ne tik specialistų, bet ir visos visuomenės. Atlikus darbą galime daryti tokias išvadas... [toliau žr. visą tekstą] / Cultural heritage bears witness to the evolution of society and is the result of the work and historical development of the discrete groups and ethnic communities living in each country. We can tell much about the historical development, achievements and losses of a country and the nations living within it by examining surviving material and cultural values. One of the key tasks for the heritage protection system of the Republic of Lithuania is the protection of the cultural heritage, which also includes that portion of the heritage as yet unexamined and unprotected. The diversity and individuality of its cultural heritage tells of the country’s historical past, instills pride in the nation and state and teaches the upcoming generation patriotism. Several problems are addressed in this work: 1) the assessment of the activity of the Division for Export of Cultural Values within the Lithuanian heritage protection system, considered from 1990 to 2005; 2) The conservation for the Lithuanian cultural heritage of movable cultural values. This work is made topical not just by the need to present the work of the Division for Export Control of Cultural Values, but also to explain the value and importance of the work performed there for the broader Lithuanian society, at the same time protecting cultural values for Lithuanian culture. In order for the process of transmitting heritage to take place, these cultural values must be recognized and appreciated by society as a whole, and not... [to full text]

This thesis adopts an empirical approach to examine various market microstructure issues, using data from the National Stock Exchange of India (NSE). Whilst the respective empirical analyses may be considered as self-contained investigations, they are primarily linked through the common objective of understanding the mechanics of the pricing process as it occurs on actual markets, using the NSE as exemplar. The first major focus of the dissertation is non-synchronous trading: empirical evidence of nonsynchronicity is obtained by testing for predictability as between indices of different levels of liquidity. A simple test of the analysis of trading-break returns is proposed to infer whether predictability may be mainly attributable to non-synchronous trading or whether it constitutes a delayed adjustment of traders' expectations. The second question tackled in the thesis is whether volatility on the NSE may be considered as justified or excessive. Rathert han adopting the established methodology of comparing stock price changes to information about expected dividends, the research question is split up into two subsidiary ones. The first question is whether volatility is related to information flows, whilst the second related questionc oncernst he relationship betweenv olatility and returns. Three sources of excessive volatility are pin-pointed. Monday effects are found in index data but not in the underlying stocks-indicating index fluctuations which are not information-related. A second indicator of excessive price movements is the pronounced volatility which coincides with the fiscal year end of quoted companies but which is not accompanied by a similar increase in long-term returns. A third indication of unjustified price fluctuations is that volatility seems unrelated to returns when considering a long-term time series. The third topic of the thesis relates to the efficacy of opening and closing call auctions. This issue may be considered as the crux of the dissertation and it is tackled by analysing the effects of the suspension of a call auction system on NSE. Changes in volatility, efficiency and liquidity following the suspension are analysed, and an event study is presented. The relationship between call auctions and long-term volatility is also investigated. The findings suggest that the expected benefits of call auctions may not always materialise, possibly due to an inappropriately structured auction, or because a liquidity threshold for stocks must be surpassed for the expected benefits to accrue.

O aumento da participação dos títulos públicos pré-fixados no total da dívida pública sempre foi um objetivo perseguido pelas autoridades brasileiras. No entanto, isto só foi possível durante os primeiros anos do Plano Real. Muitos trabalhos empíricos foram realizados recentemente com o intuito de testar alguns pressupostos da teoria de leilões, porém, Silva (2002) foi o único trabalho realizado usando o Brasil como exemplo. O presente trabalho utiliza estatísticas mais confiáveis que Silva (2002), além de realizar testes empíricos relacionando o mercado primário de títulos públicos ao mercado secundário. A principal conclusão a que chegamos é que nos leilões de títulos públicos préfixados os pressupostos teóricos não são válidos, podendo ser fruto da pequena liquidez presente no mercado primário. / The increase of the share of fixed-rate bills in the public debt was always a goal to be pursued by the Brazilian authorities; nevertheless, this was only possible during a short period of time in the first years of the Real Plan. Many empirical works were recently elaborated with the intent to test the auction theory hypothesis, but only Silva (2002) used Brazilian data. This present dissertation uses more trustworthy figures than Silva’s work, beyond the realization of empirical tests relating the primary market to the secondary market. The most important contribution is that in the fixed rate Brazilian’s treasury auction, the estimated theoreticians do not function, and this could be due to the primary market’s low liquidity.

[pt] Este trabalho foca a política adotada em 2009 no Brasil para a contratação de energia eólica via leilões e seus impactos na decisão de investimento. Dividida em três partes conectadas entre si, esta tese primeiro discute as políticas de incentivo à energia eólica já adotadas no Brasil e em outros países, os benefícios e dificuldades da inserção eólica, identificando os problemas da atual política e propondo alterações. Na segunda parte, analisa-se a decisão sobre que quantidade ofertar em leilões de energia eólica no Brasil, e a que preço, considerando-se o risco do vento e as regras específicas para o segmento eólico adotadas em 2009. Usa-se como critério de decisão a medida Ômega (KEATING & SHADWICK, 2002), medida de risco ainda pouco disseminada no mundo corporativo e em especial no segmento eólico. Conclui-se que o setor tem incentivos para participar dos leilões ofertando um pouco mais que a geração esperada do projeto, haja vista que as regras são assimétricas para as situações em que o projeto está desempenhando abaixo ou acima do esperado. O resultado é útil para legisladores e para potenciais investidores em geração eólica no Brasil. Finalmente, considerando-se que alguns projetos de menor potencial eólico sobrepujaram outros de maior viabilidade econômica no leilão, a terceira parte deste trabalho procura identificar até que ponto o cenário incerto e as diferentes visões sobre o futuro podem ter favorecido este resultado. Supondo-se que ganhadores e perdedores do leilão apresentam assimetrias não só em termos do investimento necessário para entrar no mercado e no valor de seus projetos-padrão, mas também na forma como prevêem que o mercado para energia eólica evoluirá no Brasil, a tese analisa este problema à luz da teoria de Jogos com Opções Reais, avaliando a decisão de investir em projetos eólicos em ambiente de incerteza e sob os efeitos de competição. Mais especificamente, usa-se como referencial teórico os trabalhos de Huisman (2001) e Pawlina & Kort (2006) para duopólios assimétricos, estendendo-os de modo a considerar três assimetrias: assimetria no investimento necessário para entrar no mercado, no fluxo de valor de cada jogador (representado pelo valor dos projetos-padrão que comporão o portfólio de cada jogador), assimetria no processo estocástico utilizado para caracterizar as perspectivas futuras para os projetos eólicos. Análises de sensibilidade do modelo aos parâmetros identificam as situações limite em que se passa a favorecer a entrada no mercado de projetos menos viáveis economicamente e, portanto, com menores chances de serem concretizados. Conclui-se que pequenas discrepâncias na visão de futuro podem ter deixado de fora do leilão empresas com maiores chances de materializarem seus projetos. O risco de preempção de empresas menos viáveis cai quando há menos informação sobre as crenças dos concorrentes, porém ao custo de preços de energia um pouco mais elevados para os consumidores. Observa-se que quando há baixa incerteza e similaridade de crenças, fruto de política governamental mais clara, favorece-se tanto uma tarifa baixa de energia quanto uma indústria eólica mais forte no Brasil. / [en] This dissertation focuses on the governmental policy adopted in 2009 to contract wind power energy in Brazil through auctions and its impacts on the decision to invest in the wind power industry, and is organized into three separate but interconnected studies. The first study discusses the incentive policies adopted in Brazil and worldwide and the benefits and difficulties of increasing the stake of wind power in the country, identifying potential problems in the current policy and proposing changes. In the second part, the decision on the optimal amount of power to offer at auctions - and at what price - is analyzed based on the wind risk at the project’s site and on the specific rules for wind power in Brazil that were prevailing in 2009. For this purpose, the Omega measure (KEATING & SHADWICK, 2002) was adopted as decision criterion. The use of the Omega measure is still new to the corporate world and has not yet been used in the wind industry. The main conclusion is that entrepreneurs have incentives to sell slightly more than the expected output of the wind farm, given that the purchasing rules are asymmetric for situations in which a farm is underperforming or is above expectations. This result is useful for legislators and potential investors in wind power generation in Brazil. Finally, considering that some projects with lower wind potential have won over others with higher potential, the third part of this work attempts to identify to what extent the uncertain scenario and investors’ different outlooks of the market’s potential may have influenced this result. Assuming that losers and winners of the auction had asymmetries not only in terms of the investments necessary to enter the market and build their portfolio of wind farms, but also in terms of their views on how the market for wind power will evolve in Brazil, this dissertation analyses this problem in light of the Option-Games Theory, deriving the decision to invest in wind projects under uncertainty and competition. The theoretical frameworks of this analysis are the works by Huisman (2001) and Pawlina & Kort (2006) for asymmetric duopolies, extending their theory to consider three asymmetries: asymmetry in the investment to enter the market, in the value of each player’s portfolio, and asymmetry in the stochastic process adopted by each player to describe the market prospects for wind farms. A sensitivity analysis to the parameters of the model identified the thresholds above which less viable firms preempt the market. The main conclusion is that minor asymmetries in the views about the future may have been sufficient to make more viable firms quit the auction earlier. The risk of less viable firms preempting the market drops when their opponent’s beliefs are not known, but at the expense of higher energy prices for consumers. When uncertainty is low and beliefs are symmetric, a feasible scenario when the governmental policy for the sector is clearer, the result can be lower energy tariffs as well as a stronger wind industry in Brazil.