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

Microsoft Corporation - Microsoft Research New England; University of Michigan at Ann Arbor - School of Information; 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). 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 )

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Markus M. Mobius

Microsoft Corporation - Microsoft Research New England ( email )

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

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

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

National Bureau of Economic Research (NBER) ( email )

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

Adam Szeidl

Central European University ( email )

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Hungary
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+36 1 327 3232 (Fax)

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