Double auction mechanisms on Markovian networks

作者：Xu Xiaojing; Ma Jinpeng^*; Xie Xiaoping

来源：Expert Systems with Applications, 2014, 41(16): 7032-7045.

DOI：10.1016/j.eswa.2014.05.027

• Double auction mechanism
• Markovian chain
• Incremental subgradient method
• Bubbles and crashes
• Excess volatility

This paper studies the double auction (DA) mechanism in Ma and Li (2011) for a class of exchange economies. We extend their results to more general cases where sellers and buyers each form a complex time non-homogeneous Markovian chain, as specified in Ram et al. (2009), in the communication of their private information. A numerical example is also provided. Both bubbles and crashes are observed in the example, consistent with results of our theorems. Our example and theoretical results provide new evidence that a DA mechanism, widely utilized in real exchange markets, may contribute to the excess volatility identified in Shiller (1981) and LeRoy and Porter (1981).

• 出版日期2014-11-15
• 单位四川大学; rutgers