Existence of equilibrium in large double auctions
We show the existence of a pure strategy, symmetric, increasing equilibrium in dou- ble auction markets with correlated, conditionally independent private values and many participants. The equilibrium we ï¬nd is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.
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1192, California Institute of Technology, Division of the Humanities and Social Sciences.
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