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Efficiency of Large Double Auctions

Martin Cripps and Jeroen Swinkels ()

Econometrica, 2006, vol. 74, issue 1, 47-92

Abstract: We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of "a little independence." We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any alpha>0, inefficiency disappears at rate (1/n)^(2 alpha). Copyright The Econometric Society 2006.

Date: 2006
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