On Market Prices in Double Auctions

University of Zurich, Department of Economics, Working Paper No. 404

15 Pages Posted: 2 Apr 2022

See all articles by Simon Jantschgi

Simon Jantschgi

University of Zurich

Heinrich H. Nax

ETH Zürich; University of Zurich

Bary Pradelski

CNRS, Université Grenoble Alpes

Marek Pycia

University of Zurich

Date Written: February 11, 2022

Abstract

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

Jantschgi, Simon and Nax, Heinrich H. and Pradelski, Bary and Pycia, Marek, On Market Prices in Double Auctions (February 11, 2022). University of Zurich, Department of Economics, Working Paper No. 404, Available at SSRN: https://ssrn.com/abstract=4043532 or http://dx.doi.org/10.2139/ssrn.4043532

Simon Jantschgi (Contact Author)

University of Zurich ( email )

Institute for Banking & Finance
Zurich, 8001
Switzerland

Heinrich H. Nax

ETH Zürich ( email )

Rämistrasse 101
ZUE F7
Zürich, 8092
Switzerland

University of Zurich ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

Bary Pradelski

CNRS, Université Grenoble Alpes ( email )

Grenoble
France

HOME PAGE: http://cnrs.fr

Marek Pycia

University of Zurich ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

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