论文标题
双重拍卖市场的有效分配
Efficient allocations in double auction markets
论文作者
论文摘要
本文提出了一个简单的描述性模型，以分散资产的离散时间双拍卖市场。就像在交换经济体的经典模型中一样，我们考虑了一组有限的代理，这些代理人的初始end赋和偏好描述。但是，我们假设所有交易都在集中的双重拍卖中进行，而不是经典的沃尔拉斯型市场模型，而不是代理商通过密封的限额订单进行买卖进行交流。我们发现，在非分类竞标下，当代理商目前的持有量在帕累托边境上时，双重拍卖会完全零交易。更有趣的是，双重拍卖会实现亚当·史密斯（Adam Smith）的“无形之手”，从某种意义上说，从不平衡开始时，重复的双重拍卖会导致一系列分配，这些分配收敛到单独理性的帕累托分配。
This paper proposes a simple descriptive model of discrete-time double auction markets for divisible assets. As in the classical models of exchange economies, we consider a finite set of agents described by their initial endowments and preferences. Instead of the classical Walrasian-type market models, however, we assume that all trades take place in a centralized double auction where the agents communicate through sealed limit orders for buying and selling. We find that, under nonstrategic bidding, the double auction clears with zero trades precisely when the agents' current holdings are on the Pareto frontier. More interestingly, the double auctions implement Adam Smith's "invisible hand" in the sense that, when starting from disequilibrium, repeated double auctions lead to a sequence of allocations that converges to individually rational Pareto allocations.
