Open AccessA dominant strategy double clock auction with estimation‐based tâtonnement
Author(s) -
Loertscher Simon,
Mezzetti Claudio
Publication year - 2021
Publication title -
theoretical economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.404
H-Index - 32
eISSN - 1555-7561
pISSN - 1933-6837
DOI - 10.3982/te3311
Subject(s) - double auction , incentive compatibility , bidding , walrasian auction , rationality , economics , revenue equivalence , auction theory , proxy bid , vickrey–clarke–groves auction , microeconomics , mathematical economics , computer science , incentive , common value auction , political science , law
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 clock prices based on the estimates.