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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

An Efficient Double Auction

Vol.17, No.2, June , 1–20



  •   (Department of Economics, Korea University)

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Abstract  

We study the double auction problem with interdependent values. We establish a payoff equivalence result for this environment. We also introduce the generalized Vickrey double auction which is an efficient and ex-post incentive compatible mechanism for the interdependent values environment. Using these tools, we find a necessary and sufficient condition for the existence of an efficient, Bayesian incentive compatible, interim individually rational, and ex-ante budget balancing mechanism. We show that positive interdependence makes the existence harder, while negative interdependence makes it easier.


Keywords
   Double Auction, Interdependent Values, Efficiency

JEL classification codes
   C72, D44, D82
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