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  4. November 2023
  5. Slope Takers in Anonymous Markets

American Economic Journal:
Microeconomics

ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)

Slope Takers in Anonymous Markets

  • Daniel Quint
  • Marek Weretka
American Economic Journal: Microeconomics
vol. 15, no. 4, November 2023
(pp. 306–18)
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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.

Citation

Quint, Daniel, and Marek Weretka. 2023. "Slope Takers in Anonymous Markets." American Economic Journal: Microeconomics, 15 (4): 306–18. DOI: 10.1257/mic.20220078

Additional Materials

JEL Classification

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