Ex post efficiency in the buyer's bid double auction when demand can be arbitrarily larger than supply

• 成果类型: Article
• 署名作者: Zacharias, E; Williams, SR
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; University of Cyprus
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2000.2722
• 发表日期: 2001
• 页码: 175-190
• 关键词: Double auction; bargaining; Market microstructure

摘要

We examine the rate of convergence ro efficiency in the buyer's bid double auction for sequences of markets in which the number r,r or buyers can be arbitrarily larger than the number n of sellers. This rate is shown to be O(n/m(2)) when m, n are such that m greater than or equal to betan for a constant beta > 1. This is consistent with the O(1/m) rate that holds when 1/beta less than or equal to n/m less than or equal to beta, which is proven by A. Rustichini et al. (1994. Econometrica 62, 1041-1063). Consequently. the single formula O(n/m(2)) developed in this paper expresses the rate of convergence to efficiency fur all sequences of m and n for which n/m is bounded above. (C) 2001 Academic Press.