The importance of memory for price discovery in decentralized markets

• 成果类型: Article
• 署名作者: Leshno, Jacob D.; Pradelski, Bary S. R.
• 署名单位: University of Chicago; Inria; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2020.11.002
• 发表日期: 2021
• 页码: 62-78
• 关键词: Assignment game; Price discovery; INFORMATION; Convergence time

摘要

We study the dynamics of price discovery in decentralized two-sided markets. We show that there exist memoryless dynamics that converge to the core of the underlying assignment game in which agents' actions depend only on their current payoff. However, we show that for any such dynamic the convergence time can grow exponentially in relation to the population size. We present a natural dynamic in which a player's reservation value provides a summary of his past information and show that this dynamic converges to the core in polynomial time in homogeneous markets. (C) 2020 Elsevier Inc. All rights reserved.