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A Multi-Stage Market Game that Implements any Walrasian Allocation in any Pure-Exchange Environment
Mouhua Liao
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This paper studies retrading in a multi-stage Shapley--Shubik structure market game with symmetric limit orders and a finite number of agents. Without restrictions on preferences and endowments, a constructive proof is used to show that any Walrasian allocation can be implemented by a Markov perfect equilibrium if agents are allowed to retrade for a finite number of rounds before they consume. As part of the proof, we give a closed form expression for the required number of rounds, which depends on the Walrasian allocation and the selection of a numeraire.
JEL-Codes: C72; D40; D51
Keywords: Market game; Retrading; Symmetric limit orders; Walrasian equilibrium.


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