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Existence of Equilibrium in Large Double Auctions

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  • Fudenberg, Drew
  • Mobius, Markus
  • Szeidl, Adam

Abstract

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.

Suggested Citation

  • Fudenberg, Drew & Mobius, Markus & Szeidl, Adam, 2007. "Existence of Equilibrium in Large Double Auctions," Scholarly Articles 3043420, Harvard University Department of Economics.
    • Handle: RePEc:hrv:faseco:3043420
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    References listed on IDEAS

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    1. Eric Maskin & John Riley, 2000. "Equilibrium in Sealed High Bid Auctions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 67(3), pages 439-454.
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    7. Mark A. Satterthwaite & Steven R. Williams, 1989. "The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(4), pages 477-498.
    8. 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.
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    12. Athey, Susan, 2001. "Single Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information," Econometrica, Econometric Society, vol. 69(4), pages 861-889, July.
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