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Double auctions with no-loss constrained traders

Author

Listed:
  • Nejat Anbarci

    (Deakin University)

  • Jaideep Roy

    (University of Bath)

Abstract

Do hard budget constraints work in favour or against truth telling in double auctions? McAfee (1992) constructed a simple double auction mechanism (MDA), which is strategyproof and minimally inefficient, but may resort to dual prices, where the difference between prices is channelled as a surplus to the market maker, preventing MDA from achieving a balanced budget. We construct a variant of MDA in which no-loss constraints play a major positive role. Our variant of MDA is also strategyproof, as efficient as MDA but improves on it by achieving a balanced budget via always having a uniform price.

Suggested Citation

  • Nejat Anbarci & Jaideep Roy, 2018. "Double auctions with no-loss constrained traders," Theory and Decision, Springer, vol. 84(1), pages 1-9, January.
    • Handle: RePEc:kap:theord:v:84:y:2018:i:1:d:10.1007_s11238-017-9627-7
    DOI: 10.1007/s11238-017-9627-7
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    References listed on IDEAS

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