Bilateral trading in divisible double auctions

• 成果类型: Article
• 署名作者: Du, Songzi; Zhu, Haoxiang
• 署名单位: Simon Fraser University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.11.001
• 发表日期: 2017
• 页码: 285-311
• 关键词: Divisible double auctions; Bilateral trading; bargaining; ex post equilibrium

摘要

Existing models of divisible double auctions typically require three or more traders when there are two traders, the usual linear equilibria imply market breakdowns unless the traders' values are negatively correlated. This paper characterizes a family of nonlinear ex post equilibria in a divisible double auction with only two traders, who have interdependent values and submit demand schedules. The equilibrium trading volume is positive but less than the first best. Closed-form solutions are obtained in special cases. Moreover, no nonlinear ex post equilibria exist if: (i) there are n >= 4 symmetric traders or (ii) there are 3 symmetric traders with pure private values. Overall, our nonlinear equilibria fill the n = 2 gap in the divisible-auction literature and could be a building block for analyzing strategic bilateral trading in decentralized markets. (C) 2016 Elsevier Inc. All rights reserved.