Via Order Markets Towards Price-Taking Equilibrium

Sjur Didrik Flåm ()
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Sjur Didrik Flåm: University of Bergen

Journal of Optimization Theory and Applications, 2024, vol. 201, issue 3, No 1, 977-994

Abstract: Abstract Can order markets lead participants towards price-taking equilibrium? Viewing market sessions as steps of iterative algorithms, this paper indicates positive prospects for convergence. Mathematical arguments turn on convolution, efficiency and generalized gradients. Economic arguments revolve around reservation costs, derived from indifference or threshold payments for quantities supplied or demanded.

Keywords: Conjugation; Convolution; Generalized gradients; Limit orders; Pareto efficiency; Competitive equilibrium (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10957-024-02441-2

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