Existence of Equilibrium in Large Double Auctions

26 Pages Posted: 20 Jul 2004

See all articles by Drew Fudenberg

Drew Fudenberg

Massachusetts Institute of Technology (MIT)

Markus M. Mobius

University of Michigan at Ann Arbor - School of Information; Microsoft Corporation - Microsoft Research New England; National Bureau of Economic Research (NBER)

Adam Szeidl

Central European University

Date Written: May 2004

Abstract

We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated private valuations 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.

Keywords: Price-taking, Pure strategy equilibrium

JEL Classification: C62, C72, D44, D82

Suggested Citation

Fudenberg, Drew and Mobius, Markus M. and Szeidl, Adam, Existence of Equilibrium in Large Double Auctions (May 2004). Harvard Institute of Economic Research Discussion Paper No. 2033. Available at SSRN: https://ssrn.com/abstract=566861 or http://dx.doi.org/10.2139/ssrn.566861

Drew Fudenberg (Contact Author)

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

Markus M. Mobius

University of Michigan at Ann Arbor - School of Information ( email )

304 West Hall
550 East University
Ann Arbor, MI 48109-1092
United States

HOME PAGE: http://www.markusmobius.org

Microsoft Corporation - Microsoft Research New England ( email )

One Memorial Drive, 14th Floor
Cambridge, MA 02142
United States

HOME PAGE: http://www.markusmobius.org

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://www.markusmobius.org

Adam Szeidl

Central European University ( email )

Nador u. 9.
Budapest H-1051
Hungary
+36 1 327 3000 (Phone)
+36 1 327 3232 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
115
Abstract Views
996
rank
237,693
PlumX Metrics