The Effect of Market Size on the Efficiency of Markets with Private Information

在市场中，交易者对正在交易的商品的保留价值可能是私下的，只有他自己知道。这种隐私使他在出价或要约时能够战略性地误报自己的真实价值。在小市场，由于这种战略性的错误报告，交易机制至少在部分时间内实施了低效的配置。在大市场中，这种低效率消失了，因为每个交易者都是微不足道的，不能有效地操纵价格。这个项目确定并验证了关于市场特征的基本猜想。一个这样的猜测是，在一般情况下，交易员数量翻一番，(1)交易员虚报预订值的最大金额减半，(2)机制效率低下。另一个猜想是，无论有多少交易商，密封竞价双向拍卖的均衡都不会有事前有效的表现。该项目还比较了双重拍卖等结构性市场与去中心化交易所的表现。这项研究的结果应该会加深我们对有组织市场的优势以及这种机构发展的原因的理解。

Within a market the reservation value that a trader places on the good being traded may be private, known to him alone. This privacy enables him when he makes a bid or an offer to misreport strategically his true value. In small markets, because of this strategic misreporting, trading mechanisms implement inefficient allocations at least part of the time. In large markets this inefficiency vanishes because each trader is negligible and can not manipulate the price effectively. This project identifies and verifies fundamental conjectures about the characteristics of markets. One such conjecture is that under general conditions doubling the number of traders (1) halves the maximal amount by which traders misreport their reservation values and (2) quarters the mechanism inefficiency. Another conjecture is that no equilibrium of a sealed bid double auction has ex ante efficient performance, no matter how many traders there are. The project also compares the performance of structured markets such as double auctions with decentralized exchanges. The results of this study should improve our understanding of the advantages of organized markets and the reason why such institutions developed.