We thank the CFTC for providing summary statistics on four futures contracts and NASDAQ for providing summary statistics on 117 stocks that are used to calibrate the model.† Additional disclaimer related to CFTC: The research presented in this paper was co-authored by Haoxiang Zhu, an unpaid consultant of CFTC, who wrote this paper in his official capacity with the CFTC, and Songzi Du, an Assistant Professor of Economics at Simon Fraser University. (The majority of the paper was written prior to Haoxiang Zhu's affiliation with the CFTC.) The Office of the Chief Economist and CFTC economists and consultants produce original research on a broad range of topics relevant to the CFTCs mandate to regulate commodity futures markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer-review and other scholarly outlets. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff, or the Commission itself.
We study robust mechanisms to sell a common-value good. We assume that the mechanism designer knows the prior distribution of the buyers' common value but is unsure of the buyers' information structure about the common value. We use linear programming duality to derive mechanisms that guarantee a good revenue among all information structures and all equilibria. Our mechanism maximizes the revenue guarantee when there is one buyer. As the number of buyers tends to infinity, the revenue guarantee of our mechanism converges to the full surplus.2 In other words, Roesler and Szentes (2016) characterize for one buyer: min info. structure max mechanism, equilibrium Revenue, while we characterize: max mechanism min info. structure, equilibriumRevenue, and show it is equal to their min-max value. Equilibrium here is a mapping from signals of the information structure to messages in the mechanism, such that there is no incentive to deviate. 3 When the prior is the uniform [0, 1] distribution, a posted price of p ≤ 1/2 guarantees a revenue of
Cincinnati, and the 10th Central Bank Workshop on the Microstructure of Financial Markets. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
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