Optimal Clock Auctions

Résumé

Clock auctions are weakly group strategy-proof, make bidding truthfully an obviously dominant strategy, and preserve trading agents’ privacy. They have proved useful in practice but challenging to implement in a prior-free, asymptotically optimal way. We characterize the Bayesian optimal clock auction (BOCA) and develop a prior-free clock auction that maintains the structure of the BOCA and is asymptotically optimal. To do this, we exploit a relationship between hazard rates and the spacings between order statistics. Extensions permit price discrimination among heterogeneous groups, minimum revenue thresholds, and quantity caps.