双边拍卖市场定价策略分析

In this paper, we analyse how double auction marketplaces set an effective pricing policy to determine the transaction prices for matched buyers and sellers. We analyse this problem by considering continuous privately know trader types. Furthermore, we consider two typical pricing policies: emph{equilibrium $k$ pricing policy} and emph{discriminatory $k$ pricing policy}. We firstly investigate how to determine the transaction prices to reach the maximal allocative efficiency in an isolated marketplace when the traders adopt Nash equilibrium bidding strategies. We find that when the marketplace adopts emph{discriminatory $k$ pricing policy}, the maximal allocative efficiency is reached by setting $k$=0.41 or 0.59. We find that emph{equilibrium $k$ pricing policy} provides higher allocative efficiency than emph{discriminatory $k$ pricing policy}. We further discuss how different pricing policies can affect traders' Nash equilibrium bidding strategies. Furthermore, we extend the analysis to the setting with two marketplaces competing against each other to attract traders. We find that the marketplace using emph{equilibrium $k$ pricing policy} is more likely to beat the marketplace using emph{discriminatory $k$ pricing policy}, where all traders converge to the marketplace using emph{equilibrium $k$ pricing policy} in Nash equilibrium. Our analysis can provide meaningful insights for designing an effective pricing policy.