Songzi Du from UC San Deigo will present "Market Order Mechanisms".

Abstract: A homogeneous good is for sale to a large number of buyers with multi-unit demand. There are both common and idiosyncratic components to preferences. Trade occurs via a market order mechanism: Each buyer places an order for a number of units; the orders are filled in a random sequence; and buyers pay a price per unit that is a function of the aggregate order. We study the limit of such economies as the numbers of buyers and units grows large. If the pricing rules have vanishing price impact and span, then regardless of the sequence of information structures and equilibria, the limiting market outcome is guaranteed to be competitive: The goods are sold to the buyers with the highest values, at an expected price that is equal to the expected marginal value for the good. It is impossible to achieve similar guarantees for information aggregation.