发帖
雷达卡
摘要翻译：
上海发放的私家车牌照被冠以“世界上最贵的铁皮”的称号，比金子还贵。一个公民必须在每月一次的拍卖中出价才能为他的新私家车获得车牌。本文采用统计分析的方法，考察了竞买人的最低限价研究发现，拍卖的合法性争论在短时间内对平均价格产生了边际短暂的影响。相比之下，拍卖规则的变化对平均价格有显著的永久性影响，使价格降低约3020元人民币。这意味着平均价格表现出非线性行为，并伴随着制度的变化。在这两种制度下，平均价格的演变与投标人的数目$n_{\rm{bidder}}$无关。在2008年1月以前的早期机制中，平均价格$P_{\rm{mean}}$只受前一个月最小价格$P_{\min}$的影响，并呈正相关关系。在2008年1月以来的现行制度中，平均价格与最低价格和上月配额呈正相关，与当月配额呈负相关。我们用2年和3年的移动窗口检验了两个模型的预测能力，发现后者优于前者。拍卖改革后，由于预测误差的增加，拍卖市场似乎变得更加有效。
---
英文标题：
《Analyzing the prices of the most expensive sheet iron all over the
world: Modeling, prediction and regime change》
---
作者：
Fu-Tie Song, Wei-Xing Zhou (ECUST)
---
最新提交年份：
2010
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要：
The private car license plates issued in Shanghai are bestowed the title of "the most expensive sheet iron all over the world", more expensive than gold. A citizen has to bid in an monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the minimal price $P_{\min}$ of the bidding winners, the quota $N_{\rm{quota}}$ of private car license plates, the number $N_{\rm{bidder}}$ of bidders, as well as two external shocks including the legality debate of the auction in 2004 and the auction regime reform in January 2008 on the average price $P_{\rm{mean}}$ of all bidding winners. It is found that the legality debate of the auction had marginal transient impact on the average price in a short time period. In contrast, the change of the auction rules has significant permanent influence on the average price, which reduces the price by about 3020 yuan Renminbi. It means that the average price exhibits nonlinear behaviors with a regime change. The evolution of the average price is independent of the number $N_{\rm{bidder}}$ of bidders in both regimes. In the early regime before January 2008, the average price $P_{\rm{mean}}$ was influenced only by the minimal price $P_{\min}$ in the preceding month with a positive correlation. In the current regime since January 2008, the average price is positively correlated with the minimal price and the quota in the preceding month and negatively correlated with the quota in the same month. We test the predictive power of the two models using 2-year and 3-year moving windows and find that the latter outperforms the former. It seems that the auction market becomes more efficient after the auction reform since the prediction error increases.
---
PDF链接：
https://arxiv.org/pdf/1001.3176
京公网安备 11010802022788号
