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Existence and Convergence of Equilibria in the Buyer's Bid Double Auction

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  • Williams, Steven R
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    Abstract

    This paper concerns a Bayesian game model of the buyer's bid double auction, which is a procedure for organizing trade that selects a market-clearing price from a list of offers/bids. Strategic misrepresentation by traders may make the outcome of trade inefficient. M. Satterthwaite and S. Williams (1989) show that misrepresentation and inefficiency quickly converge to zero as the number of traders on each side of the market increases. This is extended here to cases in which the number of buyers may differ from the number of sellers. The existence of equilibria in a generic instance of the model is also proven. Copyright 1991 by The Review of Economic Studies Limited.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Review of Economic Studies.

    Volume (Year): 58 (1991)
    Issue (Month): 2 (April)
    Pages: 351-74

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    Handle: RePEc:bla:restud:v:58:y:1991:i:2:p:351-74

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    Cited by:
    1. Artyom Shneyerov & Adam Chi Leung Won, 2008. "The Rate of Convergence to Perfect Competition of Matching and Bargaining Mechanisms," Discussion Papers 1467, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Ángel Hernando Veciana, 2001. "Competition Among Auctioneers," Working Papers. Serie AD 2001-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Aloisio Araujo & Luciano I. de Castro, 2006. "Pure Strategy Equilibria Of Single And Double Auctions With Interdependent Values," Economics Working Papers we065320, Universidad Carlos III, Departamento de Economía.
    4. Aloisio Araujo & Luciano I. de Castro Filho, 2004. "Pure Strategy Equilibria of Multidimensional and Non-Monotonic Auctions," Econometric Society 2004 Latin American Meetings 300, Econometric Society.
    5. Fudenberg, Drew & Mobius, Markus & Szeidl, Adam, 2010. "Existence of Equilibrium in Large Double Auctions," Staff General Research Papers 32111, Iowa State University, Department of Economics.
    6. Art Shneyerov, 2006. "Dynamic Matching with Two-sided Incomplete Information and Participation Costs," Theory workshop papers 815595000000000009, UCLA Department of Economics.
    7. Kadan, Ohad, 2006. "So who gains from a small tick size?," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 32-66, January.
    8. Hu Lu & Jacques Robert, 1997. "Optimal Trading Mechanisms with Ex Ante Unidentified Traders," CIRANO Working Papers 97s-29, CIRANO.
    9. Mark A. Satterthwaite & Steven R. Williams, 1991. "The Double Auction Market: Institutions," Discussion Papers 971, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    10. Ohad Kadan, 2004. "Equilibrium in the Two Player, k-Double Auction with Affiliate Private Values," Working Papers 2004.12, Fondazione Eni Enrico Mattei.

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