Minimax regret and failure to converge to efficiency in large markets

• 成果类型: Article
• 署名作者: Shafer, Rachel C.
• 署名单位: University System of Ohio; Bowling Green State University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2020.07.010
• 发表日期: 2020
• 页码: 281-287
• 关键词: Double auctions; Regret minimization; ambiguity; decision theory; mechanism design

摘要

This paper studies minimax regret traders in a sealed bid double auction. Unlike the expected utility maximizers that populate typical market models, these traders do not determine their actions using a single prior. The analysis proves that, with no restrictions on beliefs about others' types and strategies, minimax regret traders will not converge to price-taking as the size of the market increases, contrary to standard economic intuition. In fact, minimax regret traders' bids and asks are invariant to the number of traders in the market. Thus, the robustness of the sealed bid double auction is sensitive to traders' preferences. (c) 2020 Published by Elsevier Inc.