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Efficiency of Large Double Auctions

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  • Martin W. Cripps
  • Jeroen M. Swinkels

Abstract

We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of "a little independence." We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any alpha>0, inefficiency disappears at rate (1/n)^(2 alpha). Copyright The Econometric Society 2006.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2006.00649.x
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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 74 (2006)
Issue (Month): 1 (01)
Pages: 47-92

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Handle: RePEc:ecm:emetrp:v:74:y:2006:i:1:p:47-92

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  1. Richard McLean & Andrew Postlewaite, . "Informational Size and Incentive Compatibility," Penn CARESS Working Papers 7f6ff09d59945e06909ce4fa4, Penn Economics Department.
  2. Postlewaite, Andrew & Schmeidler, David, 1986. "Implementation in differential information economies," Journal of Economic Theory, Elsevier, vol. 39(1), pages 14-33, June.
  3. Fudenberg, Drew & Mobius, Markus & Szeidl, Adam, 2007. "Existence of equilibrium in large double auctions," Journal of Economic Theory, Elsevier, vol. 133(1), pages 550-567, March.
  4. Paul Milgrom & Robert Weber, 1981. "Distributional Strategies for Games with Incomplete Information," Discussion Papers 428R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. Wolfgang Pesendorfer & Jeroen M. Swinkels, 1997. "The Loser's Curse and Information Aggregation in Common Value Auctions," Econometrica, Econometric Society, vol. 65(6), pages 1247-1282, November.
  6. Wilson, Robert, 1977. "A Bidding Model of Perfect Competition," Review of Economic Studies, Wiley Blackwell, vol. 44(3), pages 511-18, October.
  7. Matthew O. Jackson & Leo K. Simon & Jeroen M. Swinkels & William R. Zame, 2002. "Communication and Equilibrium in Discontinuous Games of Incomplete Information," Econometrica, Econometric Society, vol. 70(5), pages 1711-1740, September.
  8. Mailath, George J & Postlewaite, Andrew, 1990. "Asymmetric Information Bargaining Problems with Many Agents," Review of Economic Studies, Wiley Blackwell, vol. 57(3), pages 351-67, July.
  9. Swinkels, Jeroen M, 2001. "Efficiency of Large Private Value Auctions," Econometrica, Econometric Society, vol. 69(1), pages 37-68, January.
  10. Mark A. Satterthwaite & Steven R. Williams, 2002. "The Optimality of a Simple Market Mechanism," Econometrica, Econometric Society, vol. 70(5), pages 1841-1863, September.
  11. Milgrom, Paul R, 1979. "A Convergence Theorem for Competitive Bidding with Differential Information," Econometrica, Econometric Society, vol. 47(3), pages 679-88, May.
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