Sequential Auctions with Randomly Arriving Buyers

13 Pages Posted: 15 Jan 2008 Last revised: 5 May 2013

See all articles by Maher Said

Maher Said

NYU Stern School of Business

Date Written: January 19, 2011


We analyze a dynamic market in which buyers compete in a sequence of private-value auctions for differentiated goods. New buyers and new objects may arrive at random times. Since objects are imperfect substitutes, buyers' values are not persistent. Instead, each buyer's private value for a new object is a new independent draw from the same distribution.

We consider the use of second-price auctions for selling these objects, and show that there exists a unique symmetric Markov equilibrium in this market. In equilibrium, buyers shade their bids down by their continuation value, which is the (endogenous) option value of participating in future auctions. We characterize this option value and show that it depends not only on the number of buyers currently present on the market and the distribution of their values, but also on anticipated market dynamics.

Keywords: Dynamic markets, Sequential auctions, Endogenous options, Random arrivals, Stochastic equivalence, Symmetric Markov equilibrium

JEL Classification: C73, D44, D83

Suggested Citation

Said, Maher, Sequential Auctions with Randomly Arriving Buyers (January 19, 2011). Games and Economic Behavior, 73(1), 236-243, Available at SSRN:

Maher Said (Contact Author)

NYU Stern School of Business ( email )

44 West 4th Street
New York, NY 10012
United States


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