Auction houses are not run on any known servers by EA, however, there are other options. There are 3rd party websites that do auctions and player run auction houses (normally based in Trammel ruleset).
Each website or player run auction house has their own rules and may have impose charges to use. Be sure to check the rules before bidding or buying.
Feel free to ask on your server or on the Stratics forums to try to find an auction house.