Modeling Bid Arrivals in Online Auctions

34 Pages Posted: 17 May 2006

See all articles by Galit Shmueli

Galit Shmueli

Institute of Service Science, National Tsing Hua University, Taiwan

Ralph P. Russo

University of Iowa - Department of Statistics & Actuarial Science

Wolfgang Jank

University of Maryland - Decision and Information Technologies Department

Date Written: 2004

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

Suggested Citation

Shmueli, Galit and Russo, Ralph P. and Jank, Wolfgang, Modeling Bid Arrivals in Online Auctions (2004). Robert H. Smith School Research Paper No. RHS-06-001. Available at SSRN: https://ssrn.com/abstract=902868 or http://dx.doi.org/10.2139/ssrn.902868

Galit Shmueli (Contact Author)

Institute of Service Science, National Tsing Hua University, Taiwan ( email )

Hsinchu, 30013
Taiwan

HOME PAGE: http://www.iss.nthu.edu.tw

Ralph P. Russo

University of Iowa - Department of Statistics & Actuarial Science ( email )

Iowa City, IA 52242-1409
United States

Wolfgang Jank

University of Maryland - Decision and Information Technologies Department ( email )

Robert H. Smith School of Business
4300 Van Munching Hall
College Park, MD 20742
United States
301-405-1118 (Phone)

HOME PAGE: http://www.smith.umd.edu/faculty/wjank/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
176
Abstract Views
2,801
rank
179,617
PlumX Metrics