Modeling Concurrency of Events in Online Auctions Via Spatio-Temporal Semiparametric Models

42 Pages Posted: 24 Jul 2006

See all articles by Wolfgang Jank

Wolfgang Jank

University of Maryland - Decision and Information Technologies Department

Galit Shmueli

Institute of Service Science, National Tsing Hua University, Taiwan

Date Written: December 2005

Abstract

We introduce a semiparametric approach for modeling the effect of concurrent events on an outcome of interest. Concurrency manifests itself as temporal and spatial dependencies. By temporal dependency we mean the effect of an event in the past. Modeling this effect is challenging since events arrive at irregularly spaced time intervals and thus the standard definition of time-lags does not apply. Our concurrency model also takes spatial effects into account. We interpret the meaning of "space" in a slightly non-traditional way in order to conceptualize the more abstract notion of space among a set of item-features. We motivate our model in the context of eBay's online auctions. In particular, we model the effect of concurrent auctions on an auction's price. Our concurrency model consists of three components: a transaction-related component that accounts for auction-design and bidding-competition, a spatial component that takes into account similarity among item-features, and a temporal component that accounts for events in the past. To construct each of these model components, we borrow ideas from spatial modeling and from the mixed model methodology. We also develop a new time-lag metric to handle unevenly-spaced time series by interpreting a time-lag as the information distributed over a certain time-window in the past and by incorporating this information via inclusion of appropriate summary measures. We illustrate the power of this model by applying it to a large and diverse set of laptop auctions crawled off 1 eBay.com. We show that our model results in superior predictive performance compared to a set of competitor models. Our model also allows for new insight into the factors that drive price in eBay's online auctions and their relationship to bidding-competition, auction-design, product-variety and temporal learning effects.

Keywords: Nonparametric model, distance measure, dissimilarity, spatial model, timelag, mixed model, online auction, E-Bay

Suggested Citation

Jank, Wolfgang and Shmueli, Galit, Modeling Concurrency of Events in Online Auctions Via Spatio-Temporal Semiparametric Models (December 2005). Robert H. Smith School Research Paper No. RHS 06-030. Available at SSRN: https://ssrn.com/abstract=918809 or http://dx.doi.org/10.2139/ssrn.918809

Wolfgang Jank (Contact Author)

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/

Galit Shmueli

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

Hsinchu, 30013
Taiwan

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

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