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Multiple Unit Auctions and Short Squeezes

This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and…

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English / 11/08/2003

The America's Cup arbitration panel

Institution partenaire

Université de Genève

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English / 01/01/2003

Stationary equilibria in asset-pricing models with incomplete markets and collateral

We consider an infinite-horizon exchange economy with incomplete markets and collateral constraints. As in the two-period model of Geanakoplos and Zame (2002), households can default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral. We examine an economy with a single perishable…

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English / 01/01/2003

Computing moments of ratios of quadratic forms in normal variables

The accuracy and speed of numerical methods for computing the moments of a ratio of quadratic forms in normal variables is examined, with particular application to the sample autocorrelation function. Methods based on a saddlepoint approximation are demonstrated to be not only superior to existing approximations, but are numerically reliable and virtually as accurate as the method…

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English / 01/01/2003

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