Privacy in Markets

Privacy is a common concern in markets. We study dynamic markets based on the uniform-price double auction with I heterogeneous traders who have private information. Traders’ demand schedules can condition on the statistics of past and current outcomes. Equilibrium strategies depend on the entire history. Limited transparency is generally necessary for equilibrium existence. With sufficiently many trading rounds, more transparent designs increase efficiency. For any information structure, one can design a privacy-preserving auction that is ex post efficient. The model allows analysis of how transparency and, more generally, the design of conditioning statistics affects equilibrium trading behavior and efficiency.