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/n2-α.
Original language | English (US) |
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Pages (from-to) | 47-92 |
Number of pages | 46 |
Journal | Econometrica |
Volume | 74 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2006 |
Keywords
- Asymmetric information
- Double auction
- Efficiency
- Market microstructure
ASJC Scopus subject areas
- Economics and Econometrics