Double auction with interdependent values: incentives and efficiency

Fuhito Kojima () and Takuro Yamashita
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Fuhito Kojima: Department of Economics, Stanford University

Theoretical Economics, 2017, vol. 12, issue 3

Abstract: We study a double auction environment where buyers and sellers have inter-dependent valuations and multiunit demand and supply. We propose a new mechanism, the groupwise-price mechanism. We show that the mechanism satisfies ex post incentive compatibility, individual rationality, feasibility, non-wastefulness, and no budget deficit. Moreover, the mechanism is asymptotically efficient in that the trade outcome in the mechanism converges to the efficient level as in a competitive equilibrium as the numbers of the buyers and sellers become large. Our groupwise-price mechanism is the first double auction mechanism with these properties in the interdependent values setting.

Keywords: Double auction; interdependent values; multi-unit demand and supply; ex post incentive compatibility; asymptotic efficiency (search for similar items in EconPapers)
JEL-codes: D44 D47 D82 (search for similar items in EconPapers)
Date: 2017-09-26
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Citations: View citations in EconPapers (11)

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Working Paper: Double auction with interdependent values: incentives and efficiency (2016)
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