Existence of Equilibrium in Large Double Auctions
26 Pages Posted: 20 Jul 2004
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: Suggested Citation
Fudenberg, Drew and Mobius, Markus M. 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
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.