The asymptotics of price and strategy in the buyer’s bid double auction

Steven R. Williams () and Konstantinos Zachariadis
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Steven R. Williams: University of Melbourne

Review of Economic Design, 2024, vol. 28, issue 1, No 7, 187 pages

Abstract: Abstract In a model with correlated and interdependent values/costs, we identify for the buyer’s bid double auction the asymptotic distributions of the price and of two order statistics in the first order conditions for optimal bidding/asking, all of which are normal. Substitution of the asymptotic distributions into the first order conditions can permit the solution for approximately optimal bids/asks that provide insight into what is “ first order” in a trader’s strategic decision-making, which has been difficult to obtain through analysis of equilibrium.

Keywords: Double auction; Rational expectations equilibrium; Interdependent value; Common value; Central limit theorem (search for similar items in EconPapers)
JEL-codes: C63 D44 D82 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10058-023-00338-6

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