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Games and Economic Behavior
Article . 2004 . Peer-reviewed
License: Elsevier TDM
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Article . 2004
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https://doi.org/10.2139/ssrn.4...
Article . 2003 . Peer-reviewed
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Article . 2004
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Sydney eScholarship
Research . 2003
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Stochastic Stability in a Double Auction

Stochastic stability in a double auction
Authors: Murali Agastya;

Stochastic Stability in a Double Auction

Abstract

In a k-double auction, a buyer and a seller must simultaneously announce a bid and an ask price respectively. Exchange of the indivisible good takes place if and only if the bid is at least as high as the ask, the trading price being the bid price with probability k and the ask price with probability (1-k). We show that the stochastically stable equilibria of a complete information k-double approximate an asymmetric Nash Bargaining solution with the seller's bargaining power decreasing in k. Note that ceteris paribus, the payoffs of the seller of the one-shot game increase in k. Nevertheless, as the stochastically stable equilibrium price decreases in k, choosing the seller's favorite price with a relatively higher probability in individual encounters makes him worse off in the long run.

Country
Australia
Related Organizations
Keywords

Auctions, bargaining, bidding and selling, and other market models, k-double auction, Multiple equilibria, stochastic stability, Nash Bargaining Solution, Risk potential, multiple equilibria, Nash bargaining solution, risk potential

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Average
Average
Average
bronze