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Existence of Equilibrium in Large Double Auctions

Author

Listed:
  • Drew Fudenberg
  • Markus M. Mobius
  • Adam Szeidl

Abstract

We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated private valuations and many participants. The equilibrium we find is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.

Suggested Citation

  • Drew Fudenberg & Markus M. Mobius & Adam Szeidl, 2004. "Existence of Equilibrium in Large Double Auctions," Harvard Institute of Economic Research Working Papers 2033, Harvard - Institute of Economic Research.
    • Handle: RePEc:fth:harver:2033
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