ABSTRACT
A growing body of empirical research in the fields of economics and information systems is concerned with the study of online auctions. This chapter aims to study the entire price formation process and its dynamics in online auctions. From a data structure point of view, static variables call for aggregated data whereas dynamic data use the entire unaggregated sequence of bids. Aggregation over auctions is the case where the data from a set of auctions are treated as one set of data points. Bid data from online auctions are very different from data used in traditional statistical analyses in several respects. In closed-end auctions such as eBay, the auction length is predetermined by the seller, and thus the time series takes place over a preset, finite interval. In open-ended auctions the duration could be, at least in theory, infinite.
