Efficiency of large double auctions

Martin W. Cripps; Jeroen M. Swinkels

doi:10.1111/j.1468-0262.2006.00649.x

Efficiency of large double auctions

Martin W. Cripps^*, Jeroen M. Swinkels

^*Corresponding author for this work

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74 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 language	English (US)
Pages (from-to)	47-92
Number of pages	46
Journal	Econometrica
Volume	74
Issue number	1
DOIs	https://doi.org/10.1111/j.1468-0262.2006.00649.x
State	Published - Jan 2006

Keywords

Asymmetric information
Double auction
Efficiency
Market microstructure

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/j.1468-0262.2006.00649.x

Cite this

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AB - 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.

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KW - Efficiency

KW - Market microstructure

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Efficiency of large double auctions

Abstract

Keywords

ASJC Scopus subject areas

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