Robust Double Auction Mechanisms

초록

We study the robust double auction mechanisms, that is, the double auction mechanisms that satisfy dominant strategy incentive compatibility, ex-post individual rationality and ex-post budget balance. We first establish that the price in any robust mechanism does not depend on the valuations of the trading players. We next establish that, with a non-bossiness assumption, the price in any robust mechanism does not depend on players’ valuations at all, whether trading or non-trading. Our main result is the characterization result that, with a non-bossy assumption along with other assumptions on the properties of the mecha-nism, the generalized posted mechanism in which a constant price is posted for each possible set of traders is the only robust double auction mechanism. © 2023, Korean Econometric Society. All rights reserved.

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