Privacy in Markets

42 Pages Posted: 17 Nov 2017

See all articles by Mariann Ollar

Mariann Ollar

University of Groningen

Marzena J. Rostek

University of Wisconsin - Madison

Ji Hee Yoon

University College London - Department of Economics

Date Written: August 15, 2017

Abstract

Privacy is a common concern in markets. We study dynamic markets based on the uniform-price double auction with I heterogeneous traders who have private information. Traders’ demand schedules can condition on the statistics of past and current outcomes. Equilibrium strategies depend on the entire history. Limited transparency is generally necessary for equilibrium existence. With sufficiently many trading rounds, more transparent designs increase efficiency. For any information structure, one can design a privacy-preserving auction that is ex post efficient. The model allows analysis of how transparency and, more generally, the design of conditioning statistics affects equilibrium trading behavior and efficiency.

Keywords: Noncompetitive markets, Market design, Uniform-price auction, Privacy, Transparency, Contingent variables, Divisible goods, Dark pools

JEL Classification: D4, D82, G14

Suggested Citation

Ollar, Mariann and Rostek, Marzena J. and Yoon, Ji Hee, Privacy in Markets (August 15, 2017). Available at SSRN: https://ssrn.com/abstract=3071374 or http://dx.doi.org/10.2139/ssrn.3071374

Mariann Ollar

University of Groningen ( email )

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

Marzena J. Rostek

University of Wisconsin - Madison ( email )

1180 Observatory Drive
Madison, WI 53703
United States
(608) 262-6723 (Phone)
(608) 262-2033 (Fax)

HOME PAGE: http://www.ssc.wisc.edu/~mrostek

Ji Hee Yoon (Contact Author)

University College London - Department of Economics ( email )

Drayton House, 30 Gordon Street
30 Gordon Street
London, WC1H 0AX
United Kingdom

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