Price discovery using a double auction

• 成果类型: Article
• 署名作者: Satterthwaite, Mark A.; Williams, Steven R.; Zachariadis, Konstantinos E.
• 署名单位: Northwestern University; University of Melbourne; University of London; Queen Mary University London
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2021.11.001
• 发表日期: 2022
• 页码: 57-83
• 关键词: Double auction; rational expectations; Allocational efficiency; information aggregation; computation of equilibria

摘要

We investigate equilibrium in the buyer's bid double auction (BBDA) in a model with correlated private values/costs. Using a combination of theorems and computed examples, we demonstrate that simple equilibria exist even in small markets. Moreover, we bound traders' strategic behavior as a function of market size and derive rates of convergence to zero of (i) inefficiency in the allocation caused by strategic behavior and (ii) the error in the market price as an estimate of the rational expectations price. These rates together with computed examples suggest that strategic behavior can be inconsequential even in small markets in its effect on allocational efficiency and information aggregation. The BBDA thus simultaneously accomplishes both the informational and allocational goals that markets ideally fulfill; it does this perfectly in large markets and approximately in small markets, with the error due mainly to the smallness itself and not the strategic behavior of traders. (C) 2021 Elsevier Inc. All rights reserved.