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Existence of equilibrium in large double auctions
Authors:Drew Fudenberg
Institution:a Department of Economics, Harvard University, Cambridge, MA 02138, USA
b Department of Economics, University of California at Berkeley, Berkeley, CA 94720, USA
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.
Keywords:C62  C72  D44  D82
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