On competitive nonlinear pricing

• 成果类型: Article
• 署名作者: Attar, Andrea; Mariotti, Thomas; Salanie, Francois
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Rome Tor Vergata; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; INRAE
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1555-7561
• DOI: 10.3982/TE2708
• 发表日期: 2019-01-01
• 页码: 297-343
• 关键词: Adverse selection; competing mechanisms; limit-order book; D43; D82; D86

摘要

We study a discriminatory limit-order book in which market makers compete in nonlinear tariffs to serve a privately informed insider. Our model allows for general nonparametric specifications of preferences and arbitrary discrete distributions for the insider's private information. Adverse selection severely restricts equilibrium outcomes: in any pure-strategy equilibrium with convex tariffs, pricing must be linear and at most one type can trade, leading to an extreme form of market breakdown. As a result, such equilibria exist only under exceptional circumstances that we fully characterize. These results are strikingly different from those of existing analyses that postulate a continuum of types. The two approaches can be reconciled when we consider epsilon-equilibria of games with a large number of market makers or a large number of types.