Toward a Strategic Foundation for Rational Expectations Equilibrium
通过考虑一个具有相互依赖价值和关联私人信息的双向拍卖，证明当买卖双方数量足够多且出价限制在足够精细的离散价格集时，存在一个非递减出价函数的均衡，该均衡接近完全揭示的理性预期均衡，且几乎有效并完全汇总信息。
A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double-auction equilibrium is almost efficient and almost fully aggregates the agents' information. Copyright The Econometric Society 2006.