Double auctions with no-loss constrained traders

Anbarci, N.; Roy, J.

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.

Citation

Anbarci, N., & Roy, J. (2017). Double auctions with no-loss constrained traders. Theory and Decision, 84(1), 1-9. https://doi.org/10.1007/s11238-017-9627-7

• Journal Article Type: Article
• Online Publication Date: Aug 16, 2017
• Publication Date: Aug 16, 2017
• Deposit Date: Aug 16, 2018
• Publicly Available Date: Aug 30, 2018
• Journal: Theory and Decision
• Print ISSN: 0040-5833
• Electronic ISSN: 1573-7187
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• Volume: 84
• Issue: 1
• Pages: 1-9
• DOI: https://doi.org/10.1007/s11238-017-9627-7
• Public URL: https://durham-repository.worktribe.com/output/1351673