Existence of Equilibrium in Large Double Auctions

Drew Fudenberg, Markus Michael Mobius () and Adam Szeidl

No 2033, Harvard Institute of Economic Research Working Papers from Harvard - Institute of Economic Research

Abstract: We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated private valuations and many participants. The equilibrium we find is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.

Date: 2004
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Journal Article: Existence of equilibrium in large double auctions (2007)
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