Toward a Strategic Foundation for Rational Expectations Equilibrium
نویسندگان
چکیده
A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and a¢ liated private information. If there are su¢ ciently many buyers and sellers, and their bids are restricted to a su¢ ciently ne discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double auction equilibrium is almost e¢ cient and almost fully aggregates the agentsinformation.
منابع مشابه
Supplement to Toward a Strategic Foundation for Rational Expectations Equilibrium
The proof of the main result in Reny and Perry (2006) is provided here. We also provide an example in which the best reply to nondecreasing bidding functions fails to be nondecreasing, and we show how to approximate a degenerate density by one that satis es the assumptions in Reny and Perry (2006). Finally, we establish that Reny and Perrys (2006) main result continues to hold when the notion ...
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