Double Auctions: A Unified Treatment

Simon Jantschgi, Heinrich H.Nax, Bary Pradelski and Marek Pycia

No 17040, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We provide the first definition of a Double Auction that applies to both finite and infinite markets and does not rely on any regularity assumptions. In particular, our definition allows ties in reported values. In all markets, our Double Auction clears the market, and implements a Walrasian equilibrium. Our Double Auction nests as a special cases the standard k-Double Auction for finite markets and the Double Auction for continuous and strictly monotone demand and supply for infinite markets. We also show that the convergence of finite to infinite Double Auctions obtains in absence of any regularity assumptions.

Date: 2022-02
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