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Incentive efficiency of double auctions. (English) Zbl 0584.90013
For a specified class of economic environments with sufficiently many buyers and sellers, the trading rule of a double auction, in which traders submit sealed bids and offers and a clearing price is selected according to the induced demand and supply schedules, is shown to be incentive efficient: there is no other trading rule that is sure to be preferred by each trader whatever his or her preferences. The Nash equilibrium of the game of incomplete information induced by the trading rule is used for welfare comparisons.

MSC:
91B50 General equilibrium theory
91A40 Other game-theoretic models
91A10 Noncooperative games
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