The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large
研究买方出价双向拍卖中，随着交易者数量增加，市场效率如何快速收敛至完全竞争水平，对理解大市场如何克服信息不对称导致的效率损失有参考价值。
A trader who privately knows his preferences may misrepresent them in order to influence the market price. This strategic behaviour may prevent realization of all gains from trade. In this paper, trade in a simple market with an explicit rule for price formation is modelled as a Bayesian game. We show that the difference between a trader's bid and his reservation value is maximally O(1/m) where m is the number of traders on each side of the market. Competitive pressure as m increases thus quickly overcomes the inefficiency private information causes and forces the market towards an efficient allocation.