Efficiency of large double auctions

Martin W. Cripps*, Jeroen M. Swinkels

*Corresponding author for this work

Research output: Contribution to journalArticle

58 Scopus citations

Abstract

We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of "a little independence." We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any α>0, inefficiency disappears at rate 1/n 2-α .

Original languageEnglish (US)
Pages (from-to)47-92
Number of pages46
JournalEconometrica
Volume74
Issue number1
DOIs
StatePublished - Jan 1 2006

Keywords

  • Asymmetric information
  • Double auction
  • Efficiency
  • Market microstructure

ASJC Scopus subject areas

  • Economics and Econometrics

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