Journal article
A dominant strategy double clock auction with estimation-based tâtonnement
S Loertscher, C Mezzetti
Theoretical Economics | ECONOMETRIC SOCIETY | Published : 2021
DOI: 10.3982/TE3311
Open access
Abstract
The price mechanism is fundamental to economics but difficult to reconcile with incentive compatibility and individual rationality. We introduce a double clock auction for a homogeneous good market with multidimensional private information and multiunit traders that is deficit-free, ex post individually rational, constrained efficient, and makes sincere bidding a dominant strategy equilibrium. Under a weak dependence and an identifiability condition, our double clock auction is also asymptotically efficient. Asymptotic efficiency is achieved by estimating demand and supply using information from the bids of traders that have dropped out and following a tâtonnement process that adjusts the cl..
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Awarded by Australian Research Council
Funding Acknowledgements
We thank the two anonymous referees for comments that have helped us to improve the paper substantially. The paper has also benefited from comments by and discussions with Larry Ausubel, Fuhito Kojima, Anton Kolotilin, Leslie Marx, Ellen Muir, Marek Pycia, Ilya Segal, Utku Unver, Takuro Yamashita, and Steve Williams. We also would like to thank audiences at NYU-AbuDhabi Advances inMechanismDesign Conference 2016, SMU SingaporeMechanism DesignWorkshop 2016, Auctions andMarket DesignWorkshop Vienna 2016, ASSA 2015 in Boston, EEA 2014 in Toulouse, AMES 2013 in Singapore, ESAM Sydney 2013, AETW 2013 in Queensland, and at the following universities: ANU, Auckland, Bonn, CUHK, Deakin, Duke/UNC, Essex, HKUST, Monash, Paris (Seminar of Game Theory), Queensland, UNSW, and UTS for valuable comments and feedback. This is a substantial revision superseding the previous version, which circulated under the title "AMulti-Unit Dominant Strategy Double Auction." Financial support from the Australian Research Council Discovery Project grants DP190102904 and DP200103574 and from the Samuel and June Hordern Endowment is also gratefully acknowledged. Bing Liu provided outstanding research assistance.