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Symmetric Equilibria in Double Auctions with Markdown Buyers and Markup Sellers

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Author Info
Roberto Cervone () (Department of Applied Mathematics, University of Venice)
Stefano Galavotti () (Department of Decision Sciences, University of Florence)
Marco LiCalzi () (Department of Applied Mathematics and Advanced School of Economics, University of Venice)

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Abstract

Zhan and Friedman (2007) study double auctions where buyers and sellers are constrained to using simple markdown and markup rules. In spite of the alleged symmetry in roles and assumptions, buyers are shown to have the upper hand both in the call market and in the continuous double auction. We replicate the study and show that their formulation of the sellers’ markup strategies, while seemingly natural, is strategically unsound because of a hidden asymmetry. We introduce a symmetric set of markup strategies for the sellers and show how it explains away the paradox of buyers’ advantage in three different double-sided market protocols.

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File URL: http://www.dma.unive.it/wpdma/2009wp187.pdf
File Format: application/pdf
File Function: First version, 2009
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Publisher Info
Paper provided by Department of Applied Mathematics, University of Venice in its series Working Papers with number 187.

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Length: 15 pages
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:vnm:wpaper:187

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Related research
Keywords: market engineering; trading protocols; exchange market;

Other versions of this item:

Find related papers by JEL classification:
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
D40 - Microeconomics - - Market Structure and Pricing - - - General
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Rustichini, Aldo & Satterthwaite, Mark A & Williams, Steven R, 1994. "Convergence to Efficiency in a Simple Market with Incomplete Information," Econometrica, Econometric Society, vol. 62(5), pages 1041-63, September. [Downloadable!] (restricted)
  2. Smith, Vernon L, 1982. "Microeconomic Systems as an Experimental Science," American Economic Review, American Economic Association, vol. 72(5), pages 923-55, December. [Downloadable!] (restricted)
  3. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2008. "Allocative efficiency and traders' protection under zero intelligence behavior," Working Papers 168, Department of Applied Mathematics, University of Venice, revised Nov 2009. [Downloadable!]
  4. Zhan, Wenjie & Friedman, Daniel, 2007. "Markups in double auction markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 2984-3005, September. [Downloadable!] (restricted)
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This page was last updated on 2009-11-18.


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