 Asymptotically optimal prior-free asset market mechanismsSimon Loertscher and Leslie M. Marx Games and Economic Behavior, 2023, vol. 137, issue C, 68-90 Abstract: We develop a prior-free mechanism for an asset market that is dominant-strategy incentive compatible, ex post individually rational, constrained efficient, and asymptotically optimal—as the number of agents grows large, the designer's profit from using this mechanism approaches the profit it would optimally make if it knew the agents' type distribution at the outset. The direct implementation first identifies the agent whose value equals the Walrasian price. The second step can be described algorithmically as consisting of ascending and descending clock auctions that start from the Walrasian price, estimate virtual types, and stop eliminating trades when the estimated virtual value exceeds the estimated virtual cost. The mechanism permits partial clock auction implementation. Our approach accommodates heterogeneity among groups of traders and discrimination among these, provided heterogeneity is not too accentuated. Keywords: Market mechanism; Endogenous trading position; Detail free; Mechanism design with estimation; Laffer curve (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:137:y:2023:i:c:p:68-90 DOI: 10.1016/j.geb.2022.10.013 Access Statistics for this article Games and Economic Behavior is currently edited by E. Kalai More articles in Games and Economic Behavior from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.