Existence of equilibrium in large double auctions
نویسندگان
چکیده
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. JEL Classification: C62, C72, D44, D82
منابع مشابه
Division of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 Existence of Equilibrium in Single and Double Private Value Auctions
We show existence of equilibria in distributional strategies for a wide class of private value auctions, including the rst general existence result for double auctions. The set of equilibria is invariant to the tie-breaking rule. The model incorporates multiple unit demands, all standard pricing rules, reserve prices, entry costs, and stochastic demand and supply. Valuations can be correlated a...
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عنوان ژورنال:
- J. Economic Theory
دوره 133 شماره
صفحات -
تاریخ انتشار 2007