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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 nn bidders whose values are i.i.d.  extUniform(0,1)\ ext{Uniform}(0,1), 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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