Abstract
This paper investigates the existence of a nondegenerate pure-strategy Bayesian-Nash equilibrium in a double auction between one seller and several heterogeneous buyers in the independent private value framework. It begins with three examples describing some of the model’s particular features. After studying a number of continuity-related properties of the interim payoff functions, we construct a sequence of strategy profiles that converges to a nondegenerate monotone Bayesian-Nash equilibrium of the game under some strict monotonicity conditions. The equilibrium existence result is applied to a double auction with risk-averse bidders.
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Prokopovych, P., Yannelis, N.C. On nondegenerate equilibria of double auctions with several buyers and a price floor. Econ Theory 73, 625–654 (2022). https://doi.org/10.1007/s00199-021-01372-7
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DOI: https://doi.org/10.1007/s00199-021-01372-7
Keywords
- Double auction
- Nondegenerate equilibrium
- Generalized convexity
- Payoff security
- Local intersection property