haku: @author Williams, S. R. / yhteensä: 4
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| Tekijä: | Satterthwaite, M. A. Williams, S. R. |
| Otsikko: | The rate of convergence to efficiency in the buyer's bid double auction as the market becomes large. |
| Lehti: | Review of Economic Studies
1989 : OCT, VOL. 56:188, p. 477-498 |
| Asiasana: | MARKETS BAYESIAN STATISTICS TRADE |
| Kieli: | eng |
| Tiivistelmä: | A trader who privately knows his preferences may misrepresent them in order to influence the market price. This strategic behaviour may prevent realization of all gains from trade. Trade in a simple market with an explicit rule for price formation is modelled as a Bayesian game. It is shown that the difference between a trader's bid and his reservation value is maximally 0 (1/m) where m is the number of traders on each side of the market. Competitive pressure as m increases thus quickly overcomes the inefficiency private information causes and forces the market towards an efficient allocation. |
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