Double Auctions in Markets for Multiple Kinds of Goods

TL;DR

This paper introduces MIDA, a truthful, prior-free double-auction mechanism for markets with multiple goods and gross-substitute valuations, achieving near-optimal trade gains as market sizes grow large.

Contribution

It extends the random market-halving technique to multi-good markets, creating a mechanism that is truthful, budget-balanced, and asymptotically optimal.

Findings

MIDA is prior-free and truthful.

Guarantees near-optimal gain from trade in large markets.

Applicable to markets with multiple goods and gross-substitute valuations.

Abstract

Motivated by applications such as stock exchanges and spectrum auctions, there is a growing interest in mechanisms for arranging trade in two-sided markets. Existing mechanisms are either not truthful, or do not guarantee an asymptotically-optimal gain-from-trade, or rely on a prior on the traders' valuations, or operate in limited settings such as a single kind of good. We extend the random market-halving technique used in earlier works to markets with multiple kinds of goods, where traders have gross-substitute valuations. We present MIDA: a Multi Item-kind Double-Auction mechanism. It is prior-free, truthful, strongly-budget-balanced, and guarantees near-optimal gain from trade when market sizes of all goods grow to $\infty$ at a similar rate.