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Slope Takers in Anonymous Markets

Author

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  • Daniel Quint
  • Marek Weretka
Abstract
We present a learning-based selection argument for Linear Bayesian Nash equilibrium in a Walrasian auction. Endowments vary stochastically; traders model residual supply as linear, estimate its slope from past trade data, and periodically update these estimates. In the standard setting with quadratic preferences, we show that this learning process converges to the unique LBN. Anonymity and statistical learning therefore support this commonly used equilibrium selection rule.

Suggested Citation

  • Daniel Quint & Marek Weretka, 2023. "Slope Takers in Anonymous Markets," American Economic Journal: Microeconomics, American Economic Association, vol. 15(4), pages 306-318, November.
    • Handle: RePEc:aea:aejmic:v:15:y:2023:i:4:p:306-18
    DOI: 10.1257/mic.20220078
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    More about this item

    JEL classification:

    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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