Related papers: Competitive equilibrium and the double auction
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
We study equilibria in two-buyer sequential second-price (or first-price) auctions for identical goods. Buyers have weakly decreasing incremental values, and we make a behavioural no-overbidding assumption: the buyers do not bid above their…
We show that a competitive equilibrium always exists in combinatorial auctions with anonymous graphical valuations and pricing, using discrete geometry. This is an intuitive and easy-to-construct class of valuations that can model both…
While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…
In markets with budget-constrained buyers, competitive equilibria need not be efficient in the utilitarian sense, or maximise the seller's revenue. We consider a setting with multiple divisible goods. Competitive equilibrium outcomes, and…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
We show that, with indivisible goods, the existence of competitive equilibrium fundamentally depends on agents' substitution effects, not their income effects. Our Equilibrium Existence Duality allows us to transport results on the…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
We consider two sided matching markets consisting of agents with non-transferable utilities; agents from the opposite sides form matching pairs (e.g., buyers-sellers) and negotiate the terms of their math which may include a monetary…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We study a phenomenological model for the continuous double auction, equivalent to two independent $M/M/1$ queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the…
In this paper, we study sequential auctions with two budget constrained bidders and any number of identical items. All prior results on such auctions consider only two items. We construct a canonical outcome of the auction that is the only…
We advance empirical equilibrium analysis (Velez and Brown, 2020, arXiv:1907.12408) of the winner-bid and loser-bid auctions for the dissolution of a partnership. We show, in a complete information environment, that even though these…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order…
In this paper, we study online double auctions, where multiple sellers and multiple buyers arrive and depart dynamically to exchange one commodity. We show that there is no deterministic online double auction that is truthful and…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…