Double auction with interdependent values: incentives and efficiency

Abstract

We study a double auction environment where buyers and sellers have interdependent valuations and multi-unit demand and supply. We propose a new mechanism which satisfies ex post incentive compatibility, individual rationality, feasibility, non-wastefulness, and no budget deficit. Moreover, this 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 mechanism is the first double auction mechanism with these properties in the interdependent values setting.

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JEL codes

Replaces

Fuhito Kojima, and Takuro Yamashita, “Double auction with interdependent values: incentives and efficiency”, TSE Working Paper, n. 16-677, July 2016.

Reference

Fuhito Kojima, and Takuro Yamashita, “Double auction with interdependent values: incentives and efficiency”, Theoretical Economics, vol. 12, n. 3, 2017, pp. 1393–1438.