On competitive nonlinear pricing - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Theoretical Economics Année : 2019

On competitive nonlinear pricing

Résumé

We study a discriminatory limit-order book in which market makers compete in nonlinear tariffs to serve a privately informed insider. Our model allows for general nonparametric specifications of preferences and arbitrary discrete distributions for the insider's private information. Adverse selection severely restricts equilibrium outcomes: in any pure-strategy equilibrium with convex tariffs, pricing must be linear and at most one type can trade, leading to an extreme form of market breakdown. As a result, such equilibria exist only under exceptional circumstances that we fully characterize. These results are strikingly different from those of existing analyses that postulate a continuum of types. The two approaches can be reconciled when we consider epsilon-equilibria of games with a large number of market makers or a large number of types.
Fichier principal
Vignette du fichier
Attar_et_al-2019-Theoretical_Economics_1.pdf (456.15 Ko) Télécharger le fichier
Origine Fichiers éditeurs autorisés sur une archive ouverte
Loading...

Dates et versions

hal-02097209 , version 1 (26-05-2020)

Licence

Identifiants

Citer

Andrea Attar, Thomas Mariotti, Francois Salanie. On competitive nonlinear pricing. Theoretical Economics, 2019, 14 (1), pp.297-343. ⟨10.3982/TE2708⟩. ⟨hal-02097209⟩
246 Consultations
93 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More