Double auction with interdependent values: incentives and efficiency

Kojima, Fuhito and Yamashita, Takuro (2017) Double auction with interdependent values: incentives and efficiency. Theoretical Economics, 12 (n°3). pp. 1393-1438.

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Official URL: http://tse-fr.eu/pub/30564

Abstract

We study a double auction environment where buyers and sellers have interdependent valuations and multi-unit demand and supply. We propose a new mechanism which satisfies ex post incentive compatibility, individual rationality, feasibility, non-wastefulness, and no budget deficit. Moreover, this mechanism is asymptotically efficient in that the trade outcome in the mechanism converges to the efficient level as in a competitive equilibrium as the numbers of the buyers and sellers become large. Our mechanism is the first double auction mechanism with these properties in the interdependent values setting.

Item Type: Article
Language: English
Date: 2017
Refereed: Yes
Uncontrolled Keywords: double auction, interdependent values, multi-unit demand and supply, ex post incentive compatibility, asymptotic efficiency
JEL codes: D44 - Auctions
D82 - Asymmetric and Private Information
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 21 Jul 2016 13:06
Last Modified: 24 Jan 2019 00:13
OAI ID: oai:tse-fr.eu:30564
URI: http://publications.ut-capitole.fr/id/eprint/22237

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