Existence of Equilibrium in Large Double Auctions


Fudenberg D, Mobius M, Szeidl A. Existence of Equilibrium in Large Double Auctions. Journal of Economic Theory [Internet]. 2007;133 (1) :550-567.
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We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values and many participants. The equilibrium we find is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.

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Last updated on 04/29/2018