TL;DR
Revenue Equivalence in Auctions: A canonical quantitative trading interview question at intermediate difficulty. Commonly asked at Two Sigma, Citadel, DE Shaw.
By Valenke Exam Prep Team·Last updated 2026-06-01
intermediateAlgorithmic Game Theory
Revenue Equivalence in Auctions
Asked at: Two Sigma, Citadel, DE Shaw
Problem
In a second-price sealed-bid auction with bidders whose values are i.i.d. , prove that bidding your true value is a dominant strategy. Then compute the expected revenue and verify it equals the first-price auction revenue.
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