Toward a Strategic Foundation for Rational Expectations Equilibrium
Philip Reny () and
Motty Perry ()
Econometrica, 2006, vol. 74, issue 5, 1231-1269
A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double-auction equilibrium is almost efficient and almost fully aggregates the agents' information. Copyright The Econometric Society 2006.
References: Add references at CitEc
Citations: View citations in EconPapers (32) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1111/j.1468-0262.2006.00703.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:74:y:2006:i:5:p:1231-1269
Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues
Access Statistics for this article
Econometrica is currently edited by Daron Acemoglu
More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().