Double auction with interdependent values: incentives and efficiency

Abstract

We study a double auction environment where buyers and sellers have interdependent valuations and multi-unit demand and supply. We propose a new mechanism which satisfies ex post incentive compatibility, individual rationality, feasibility, non-wastefulness, and no budget deficit. Moreover, this mechanism is asymptotically efficient in that the trade outcome in the mechanism converges to the efficient level as in a competitive equilibrium as the numbers of the buyers and sellers become large. Our mechanism is the first double auction mechanism with these properties in the interdependent values setting.

Keywords

JEL codes

Replaced by

Fuhito Kojima, and Takuro Yamashita, “Double auction with interdependent values: incentives and efficiency”, Theoretical Economics, vol. 12, n. 3, 2017, pp. 1393–1438.

Reference

Fuhito Kojima, and Takuro Yamashita, “Double auction with interdependent values: incentives and efficiency”, TSE Working Paper, n. 16-677, July 2016.