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The asymptotics of price and strategy in the buyer’s bid double auction

Author

Listed:
  • Steven R. Williams

    (University of Melbourne)

  • Konstantinos E. Zachariadis

    (Queen Mary University of London)

Abstract

In a model with correlated and interdependent values/costs, we identify for the buyer’s bid double auction the asymptotic distributions of the price and of two order statistics in the first order conditions for optimal bidding/asking, all of which are normal. Substitution of the asymptotic distributions into the first order conditions can permit the solution for approximately optimal bids/asks that provide insight into what is “ first order” in a trader’s strategic decision-making, which has been difficult to obtain through analysis of equilibrium.

Suggested Citation

  • Steven R. Williams & Konstantinos E. Zachariadis, 2024. "The asymptotics of price and strategy in the buyer’s bid double auction," Review of Economic Design, Springer;Society for Economic Design, vol. 28(1), pages 151-187, February.
    • Handle: RePEc:spr:reecde:v:28:y:2024:i:1:d:10.1007_s10058-023-00338-6
    DOI: 10.1007/s10058-023-00338-6
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    Keywords

    Double auction; Rational expectations equilibrium; Interdependent value; Common value; Central limit theorem;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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