The asymptotics of price and strategy in the buyer's bid double auction

DOI10.1007/S10058-023-00338-6MaRDI QIDQ6541995zbMATH OpenFDO

Authors Steven R. Williams, Konstantinos E. Zachariadis

Publication date 21 May 2024

Published in Review of Economic Design (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10058-023-00338-6

zbMATH Keywords

central limit theoremcommon valuedouble auctioninterdependent valuerational expectations equilibrium

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Review text

The article is a natural continuation of research on current topics -- existence and convergence of equilibria in the buyer's bid double auction. In a model with correlated and interdependent values/costs, the authors identify for the buyer's bid double auction the asymptotic distributions of the price and of two order statistics in the first order conditions for optimal bidding/asking, all of which are normal. More precisely, this paper establishes a central limit theorem for the market price and for the order statistics among bids/asks that are critical in a trader's decision problem. The informational environment in which the result is established allows for both correlation among the informational signals of traders and interdependence of their values/costs. Interdependence of values/costs means that a trader draws an inference from the price and the event that he trades in determining his optimal bid/ask. This inference problem has impeded the study of double auction equilibrium in all but very large markets, wherein inference and strategic behavior are simplified. The reader can find precise proofs of the basic Theorems 1--3 in the Appendix section.

Recommendations

• Price discovery using a double auction
• An ascending double auction
• Existence and Convergence of Equilibria in the Buyer's Bid Double Auction
• Existence of equilibrium in large double auctions
• The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large

Cites work

• Approximation Theorems of Mathematical Statistics
• Competitive rational expectations equilibria without apology
• Convergence to Efficiency in a Simple Market with Incomplete Information
• Distribution of quantiles in samples from a bivariate population
• Efficient mechanisms for bilateral trading
• Ex ante incentive efficient trading mechanisms without the private valuation restriction
• Existence and Convergence of Equilibria in the Buyer's Bid Double Auction
• Existence of equilibrium in large double auctions
• Finite mixture models
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
• Informed Speculation with Imperfect Competition
• Large auctions with risk-averse bidders
• Price discovery using a double auction
• Strategic supply function competition with private information
• The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large
• Toward a Strategic Foundation for Rational Expectations Equilibrium

This page was built for publication: The asymptotics of price and strategy in the buyer's bid double auction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6541995)