Existence of equilibrium in large double auctions |
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| Authors: | Drew Fudenberg |
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| Institution: | a Department of Economics, Harvard University, Cambridge, MA 02138, USA
b Department of Economics, University of California at Berkeley, Berkeley, CA 94720, USA |
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| Abstract: | We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated, conditionally independent private values and many participants. The equilibrium we find is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets. |
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| Keywords: | C62 C72 D44 D82 |
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