DP17040 Double Auctions and Walrasian Equilibrium
We define a double auction mechanism, treating in a unified way finite and infinite markets, allowing for ties in reported values, and not imposing any regularity assumptions. It is the first such definition. In all markets, our Double Auction implements market clearing and a Walrasian equilibrium. In finite markets our Double Auction nests as special cases the standard k-Double Auction and in infinite markets the textbook model of continuous and strictly monotone demand and supply. Finally, we establish the convergence of finite to infinite Double Auctions.