双向拍卖市场中的有效分配
Efficient allocations in double auction markets
摘要：
本文提出了一个简单的描述模型的离散时间双向拍卖市场的可分割资产。与交换经济的经典模型一样，我们考虑由其初始天赋和偏好描述的有限代理集。而不是经典的瓦尔拉斯型市场模型，但是，我们假设所有的交易发生在一个集中的双向拍卖，代理商通过密封的限价订单进行买卖。我们发现，在非策略投标，双向拍卖清除零交易时，代理人的当前持有的帕累托边界。更有趣的是，双向拍卖实现了亚当·斯密的“看不见的手”，即当从非均衡开始时，重复的双向拍卖会导致一系列分配，这些分配会收敛到个体理性的帕累托分配。
英文摘要：
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.
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