Modeling dynamic sealed-offer -double auctions using a mixture of distributions

This paper develops a novel market-price statistic for a sealed-offer k -double auction. The auction considered is for a homogenous product with multiple buyers and multiple sellers. The market-price statistic is developed from modeling price as a mixture of statistical distributions for buyers’ prices and for sellers’ prices. Ex post classical efficiency and ex ante Bayesian incentive efficiency of the method are considered.