Existence of Equilibrium in Large Double Auctions

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  • 1 January 2007
    • preprint
      • Published in RePEc
Abstract
We show the existence of a pure strategy, symmetric, increasing equilibrium in dou- ble auction markets with correlated, conditionally independent private values and many participants. The equilibrium we ï¬ nd 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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