TY - JOUR

T1 - Ex Post Efficiency in the Buyer's Bid Double Auction When Demand Can Be Arbitrarily Larger Than Supply

AU - Zacharias, Eleftherios

AU - Williams, Steven R.

PY - 2001/3/1

Y1 - 2001/3/1

N2 - We examine the rate of convergence to efficiency in the buyer's bid double auction for sequences of markets in which the number m of buyers can be arbitrarily larger than the number n of sellers. This rate is shown to be O(n/m2) when m, n are such that m≥βn for a constant β>1. This is consistent with the O(1/m) rate that holds when 1/β≤n/m≤β, which is proven by A. Rustichini et al. (1994, Econometrica62, 1041-1063). Consequently, the single formula O(n/m2) developed in this paper expresses the rate of convergence to efficiency for all sequences of m and n for which n/m is bounded above. Journal of Economic Literature Classification Numbers: D44, C78, G14.

AB - We examine the rate of convergence to efficiency in the buyer's bid double auction for sequences of markets in which the number m of buyers can be arbitrarily larger than the number n of sellers. This rate is shown to be O(n/m2) when m, n are such that m≥βn for a constant β>1. This is consistent with the O(1/m) rate that holds when 1/β≤n/m≤β, which is proven by A. Rustichini et al. (1994, Econometrica62, 1041-1063). Consequently, the single formula O(n/m2) developed in this paper expresses the rate of convergence to efficiency for all sequences of m and n for which n/m is bounded above. Journal of Economic Literature Classification Numbers: D44, C78, G14.

KW - Double auction; bargaining; market microstructure

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U2 - 10.1006/jeth.2000.2722

DO - 10.1006/jeth.2000.2722

M3 - Article

AN - SCOPUS:0346611216

VL - 97

SP - 175

EP - 190

JO - Journal of Economic Theory

JF - Journal of Economic Theory

SN - 0022-0531

IS - 1

ER -