Modeling Bid Arrivals in Online Auctions

Abstract:     
Summary.We introduce a new family of non-homogeneous Poisson processes (NHPP) that are useful for modeling pure and contaminated self-similar processes which describe arrivals within a finite time period. Our motivation comes from the bid arrival process in online auctions.

Modeling bid arrivals in online auctions is challenging since bidding dynamics change over the course of the auction. While the start of the auction typically sees an unusual amount of early bidding which is followed by a period of little activity, the auction end typically experiences an enormous amount of last minute bidding, also known as sniping. This observed heterogeneity in bidding dynamics commands a very flexible class of models. We address these modeling challenges by proposing a class of 3-stage non-homogenous Poisson processes. We investigate the probabilistic and statistical properties of these models and illustrate their usefulness for fitting and interpreting real data from eBay.com.

Keywords: Non-homogenous Poisson process,online auction,bid data, self-similarity, bidding dynamics

Working Paper Series