A Dominant Strategy, Double Clock Auction with Estimation-Based Tatonnement

Simon Loertscher and Claudio Mezzetti

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The price mechanism is fundamental to economics but difficult to reconcile with incentive compatibility and individual rationality. We introduce a double clock auction for a homogeneous good market with multi-dimensional private information and multi-unit traders that is deficit-free, ex post individually rational, constrained efficient, and makes sincere bidding a dominant strategy equilibrium. Under a weak dependence and an identifiability condition, our double clock auction is also asymptotically efficient. Asymptotic efficiency is achieved by estimating demand and supply using information from the bids of traders that have dropped out and following a tatonnement process that adjusts the clock prices based on the estimates.

Keywords: Deficit free; dominant strategy mechanisms; double clock auctions; individual rationality; multi-dimensional types; privacy preservation; reserve prices; VCG mechanism JEL codes: C72; D44; D47; D82 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-des, nep-gth, nep-mic and nep-ore
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Journal Article: A dominant strategy, double clock auction with estimation-based tatonnement (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:1249

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