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An Ascending Double Auction

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Author Info

  • Peters, Michael
  • Severinov, Sergei

Abstract

This paper studies an internet trading mechanism similar to the one described in Peters and Severinov (2000) in a market where traders values are interdependent. Conditions are given for which this mechanism has a perfect Bayesian equilibrium which supports allocations that are the same as the allocations supported by a rational expectations equilibrium. In particular, this equilibrium supports allocations that are ex post efficient. We show how to construct the rational expectations equilibrium belief function from posterior beliefs at terminal information sets of the internet trading game. The mechanism is also compared to a double auction.

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File URL: http://montoya.econ.ubc.ca/michael_peters/information_revelation_7.pdf
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Bibliographic Info

Paper provided by Vancouver School of Economics in its series Microeconomics.ca working papers with number peters-03-12-16-01-57-39.

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Length: 32 pages
Date of creation: 16 Dec 2003
Date of revision: 26 Feb 2005
Publication status: Forthcoming in Economic Theory
Handle: RePEc:ubc:pmicro:peters-03-12-16-01-57-39

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Web page: http://www.economics.ubc.ca/

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Keywords: double auctions; rational expectations;

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References

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  1. Jeroen M. Swinkels & Wolfgang Pesendorfer, 2000. "Efficiency and Information Aggregation in Auctions," American Economic Review, American Economic Association, vol. 90(3), pages 499-525, June.
  2. 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.
  3. Aldo Rustichini, 1992. "Convergence to Efficiency in a Simple Market with Incomplete Information," Discussion Papers 995, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Peters, Michael & Severinov, Sergei, 2005. "Internet Auctions with Many Traders," Microeconomics.ca working papers peters-05-03-30-03-06-03, Vancouver School of Economics, revised 23 Jan 2006.
  5. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
  6. Wolinsky, Asher, 1988. "Dynamic Markets with Competitive Bidding," Review of Economic Studies, Wiley Blackwell, vol. 55(1), pages 71-84, January.
  7. Oleksii Birulin & Sergei Izmalkov, 2009. "On Effciency of the English Auction," Working Papers w0139, Center for Economic and Financial Research (CEFIR).
  8. Gresik, Thomas A., 1991. "Ex ante incentive efficient trading mechanisms without the private valuation restriction," Journal of Economic Theory, Elsevier, vol. 55(1), pages 41-63, October.
  9. Piero Gottardi & Roberto Serrano, 2004. "Market Power and Information Revelation in Dynamic Trading," CESifo Working Paper Series 1300, CESifo Group Munich.
  10. Martin W Cripps & Jeroen M Swinkels, 2003. "Efficiency of Large Double Auctions," Levine's Working Paper Archive 666156000000000329, David K. Levine.
  11. Krishna, Vijay, 2003. "Asymmetric English auctions," Journal of Economic Theory, Elsevier, vol. 112(2), pages 261-288, October.
  12. Gresik, Thomas A. & Satterthwaite, Mark A., 1989. "The rate at which a simple market converges to efficiency as the number of traders increases: An asymptotic result for optimal trading mechanisms," Journal of Economic Theory, Elsevier, vol. 48(1), pages 304-332, June.
  13. Lawrence M. Ausubel, 2004. "An Efficient Ascending-Bid Auction for Multiple Objects," American Economic Review, American Economic Association, vol. 94(5), pages 1452-1475, December.
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Cited by:
  1. Roberto Serrano & Yusuke Kamishiro, 2009. "Equilibrium Blocking In Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.

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