DP17040 Double Auctions: A Unified Treatment

• Simon Jantschgi Heinrich H.Nax Bary Pradelski Marek Pycia
16 Feb 2022

We provide the first definition of a Double Auction that applies to both finite and infinite markets and does not rely on any regularity assumptions. In particular, our definition allows ties in reported values. In all markets, our Double Auction clears the market, and implements a Walrasian equilibrium. Our Double Auction nests as a special cases the standard k-Double Auction for finite markets and the Double Auction for continuous and strictly monotone demand and supply for infinite markets. We also show that the convergence of finite to infinite Double Auctions obtains in absence of any regularity assumptions.