Existence and convergence of equilibria in the buyer’s bid double auction1

Steven R. Williams1

doi:10.2307/2297972

Existence and convergence of equilibria in the buyer’s bid double auction¹

Steven R. Williams1

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper concerns a Bayesian game model of the Buyer’s Bid Double Auction, which is a procedure for organizing trade that selects a market-clearing price from a list of offers/bids. Strategic misrepresentation by traders may make the outcome of trade inefficient. Satterthwaite and Williams (1989) showed that misrepresentation and inefficiency quickly converge to zero as the number of traders on each side of the market increases. This is extended here to cases in which the number of buyers may differ from the number of sellers. The existence of equilibria in a generic instance of the model is also proven.

Original language	English (US)
Pages (from-to)	351-374
Number of pages	24
Journal	Review of Economic Studies
Volume	58
Issue number	2
DOIs	https://doi.org/10.2307/2297972
State	Published - Apr 1991

ASJC Scopus subject areas

Economics and Econometrics

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10.2307/2297972

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title = "Existence and convergence of equilibria in the buyer{\textquoteright}s bid double auction1",

abstract = "This paper concerns a Bayesian game model of the Buyer{\textquoteright}s Bid Double Auction, which is a procedure for organizing trade that selects a market-clearing price from a list of offers/bids. Strategic misrepresentation by traders may make the outcome of trade inefficient. Satterthwaite and Williams (1989) showed that misrepresentation and inefficiency quickly converge to zero as the number of traders on each side of the market increases. This is extended here to cases in which the number of buyers may differ from the number of sellers. The existence of equilibria in a generic instance of the model is also proven.",

author = "Williams1, {Steven R.}",

note = "Funding Information: shows that the expression in brackets in (A.37) has the same sign as (u + 1-v). Each coefficient (A.36) is therefore non-negative. Finally, in the n ~ 2 case substitution of u = v = m - 1 into (A.37) shows that at least one of these coefficients is positive. II Acknowledgement. This research was supported by National Science Foundation Grant No. SES-8705649 and by Northwestern University's Research Grants Committee. It stems from my joint work with Mark Satterthwaite on double auctions.",

year = "1991",

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doi = "10.2307/2297972",

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N2 - This paper concerns a Bayesian game model of the Buyer’s Bid Double Auction, which is a procedure for organizing trade that selects a market-clearing price from a list of offers/bids. Strategic misrepresentation by traders may make the outcome of trade inefficient. Satterthwaite and Williams (1989) showed that misrepresentation and inefficiency quickly converge to zero as the number of traders on each side of the market increases. This is extended here to cases in which the number of buyers may differ from the number of sellers. The existence of equilibria in a generic instance of the model is also proven.

AB - This paper concerns a Bayesian game model of the Buyer’s Bid Double Auction, which is a procedure for organizing trade that selects a market-clearing price from a list of offers/bids. Strategic misrepresentation by traders may make the outcome of trade inefficient. Satterthwaite and Williams (1989) showed that misrepresentation and inefficiency quickly converge to zero as the number of traders on each side of the market increases. This is extended here to cases in which the number of buyers may differ from the number of sellers. The existence of equilibria in a generic instance of the model is also proven.

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