fpa_simulate: Simulate first-price sealed-bid auctions

In qdfauction: Nonparametric Quantile Density Estimation and Structural Analysis of First-Price Auctions

Simulate first-price sealed-bid auctions

Description

Draws private values with a given marginal quantile function and an exchangeable Archimedean copula (independent private values by default), and computes exact equilibrium bids with [fpa_bid_function()].

Usage

fpa_simulate(
  L,
  n,
  Q,
  q = NULL,
  family = "independence",
  theta = NULL,
  p0 = 0,
  eta = 0,
  bid_function = NULL
)

Arguments

L	number of auctions.
n	number of bidders per auction.
Q	quantile function of private values (a function of 'u').
q	quantile density of private values (a function of 'u'); if 'NULL' it is obtained by numerical differentiation of 'Q'.
family	'"independence"', '"clayton"', '"gumbel"' or '"frank"'.
theta	copula parameter (ignored for independence).
p0	screening quantile of the reserve price (default 0, no reserve).
eta	CRRA risk-aversion parameter in [0, 1) (0: risk neutral).
bid_function	optional precomputed output of [fpa_bid_function()].

Value

a list with matrices 'values' and 'bids' ('L' by 'n') and the bid function used.

Examples

set.seed(1)
sim <- fpa_simulate(20, 5, Q = function(u) qlnorm(u, 0, 0.5))
str(sim$bids)

qdfauction documentation built on Nov. 10, 2026, 5:07 p.m.