On Market Prices in Double Auctions
University of Zurich, Department of Economics, Working Paper No. 404
15 Pages Posted: 2 Apr 2022
Date Written: February 11, 2022
We address some open issues regarding the characterization of double auctions. Our model is a two-sided commodity market with either finitely or infinitely many traders. We first unify existing formulations for both finite and infinite markets and generalize the characterization of market clearing in the presence of ties. Second, we define a mechanism that achieves market clearing in any, finite or infinite, market instance and show that it coincides with the k-double auction by Rustichini et al. (1994) in the former case. In particular, it clarifies the consequences of ties in submissions and makes common regularity assumptions obsolete. Finally, we show that the resulting generalized mechanism implements Walrasian competitive equilibrium.
Keywords: Double auction, Walrasian equilibrium, finite and infinite markets, axiomatization
JEL Classification: D44, D47, D50
Suggested Citation: Suggested Citation