Order-Driven Markets are Almost Competitive
研究在不确定性下，交易者提交限价单和市价单的市场博弈，发现当交易者知道所有状态下的偏好时，竞争均衡可作为纳什均衡，即交易者表现得像价格接受者，解决了价格汇总私人信息时交易者仍视价格为给定的谜题。
This article studies a market game under uncertainty in which agents may submit multiple limit and market orders. When agents know their preferences at all states, the competitive equilibrium can be supported as a Nash equilibrium of the market game, that is, agents behave as if they were price takers. Therefore, if the associated competitive economy has a fully revealing rational expectations equilibrium, then so does the market game. This resolves the puzzle that agents behave as if prices were given, even though prices aggregate private information, at least for this "private values" case. Necessary conditions for Nash equilibrium show that the resulting allocation cannot deviate too far from a competitive equilibrium. When agents do not know their preferences at some states, though, a characterization result shows that the Nash equilibria of the market game tend to be far from competitive.