Asymptotically optimal prior-free asset market mechanisms

• 成果类型: Article
• 署名作者: Loertscher, Simon; Marx, Leslie M.
• 署名单位: University of Melbourne; Duke University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2022.10.013
• 发表日期: 2023
• 页码: 68-90
• 关键词: Market mechanism; Endogenous trading position; Detail free; Mechanism design with estimation; Laffer curve

摘要

We develop a prior-free mechanism for an asset market that is dominant-strategy incentive compatible, ex post individually rational, constrained efficient, and asymptotically optimal- as the number of agents grows large, the designer's profit from using this mechanism approaches the profit it would optimally make if it knew the agents' type distribution at the outset. The direct implementation first identifies the agent whose value equals the Walrasian price. The second step can be described algorithmically as consisting of ascending and descending clock auctions that start from the Walrasian price, estimate virtual types, and stop eliminating trades when the estimated virtual value exceeds the estimated virtual cost. The mechanism permits partial clock auction implementation. Our approach accommodates heterogeneity among groups of traders and discrimination among these, provided heterogeneity is not too accentuated. (c) 2022 Elsevier Inc. All rights reserved.