Existence of equilibrium in large double auctions

• 成果类型: Article
• 署名作者: Fudenberg, Drew; Mobius, Markus; Szeidl, Adam
• 署名单位: University of California System; University of California Berkeley; Harvard University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.07.014
• 发表日期: 2007
• 页码: 550-567
• 关键词: price-taking; Pure strategy equilibrium; monotone strategies; large economies

摘要

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. (c) 2005 Elsevier Inc. All rights reserved.