Existence of equilibrium in large double auctions

Drew Fudenberg; Markus Mobius; Adam Szeidl

doi:10.1016/j.jet.2005.07.014

Existence of equilibrium in large double auctions

Drew Fudenberg, Markus Mobius, Adam Szeidl^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract (may include machine translation)

We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values 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.

Original language	English
Pages (from-to)	550-567
Number of pages	18
Journal	Journal of Economic Theory
Volume	133
Issue number	1
DOIs	https://doi.org/10.1016/j.jet.2005.07.014
State	Published - Mar 2007
Externally published	Yes

Keywords

Large economies
Monotone strategies
Price-taking
Pure strategy equilibrium

Access to Document

10.1016/j.jet.2005.07.014

Cite this

@article{c22536e959b54b31bd43c997a77e09f6,

title = "Existence of equilibrium in large double auctions",

abstract = "We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values 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.",

keywords = "Large economies, Monotone strategies, Price-taking, Pure strategy equilibrium",

author = "Drew Fudenberg and Markus Mobius and Adam Szeidl",

year = "2007",

month = mar,

doi = "10.1016/j.jet.2005.07.014",

language = "English",

volume = "133",

pages = "550--567",

journal = "Journal of Economic Theory",

issn = "0022-0531",

number = "1",

}

TY - JOUR

T1 - Existence of equilibrium in large double auctions

AU - Fudenberg, Drew

AU - Mobius, Markus

AU - Szeidl, Adam

PY - 2007/3

Y1 - 2007/3

N2 - We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values 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.

AB - We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values 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.

KW - Large economies

KW - Monotone strategies

KW - Price-taking

KW - Pure strategy equilibrium

UR - http://www.scopus.com/inward/record.url?scp=33847012251&partnerID=8YFLogxK

U2 - 10.1016/j.jet.2005.07.014

DO - 10.1016/j.jet.2005.07.014

M3 - Article

AN - SCOPUS:33847012251

SN - 0022-0531

VL - 133

SP - 550

EP - 567

JO - Journal of Economic Theory

JF - Journal of Economic Theory

IS - 1

ER -

Existence of equilibrium in large double auctions

Abstract (may include machine translation)

Keywords

Access to Document

Other files and links

Fingerprint

Cite this