Journal of Mechanism and Institution Design ISSN: 2399-844X(Print), 2399-8458(Online) DOI:10.22574/jmid.2016.12.001 CONVERGENCE OF PRICE PROCESSES UNDER TWO DYNAMIC DOUBLE AUCTIONS Jinpeng Ma Rutgers University, USA jinpeng@camden.rutgers.edu Qiongling Li Rice University, USA ql4@rice.edu ABSTRACT We study the convergence of two price processes generated by two dynamic double auctions(DA) and provide conditions under which the two price pro­cesses converge to a Walrasian equilibrium in the underlying economy. When the conditions are not satisfied, the price processes may result in a bubble or crash. Keywords : Double auction mechanisms, incremental subgradient methods, network resource allocations. JEL Classification Numbers : D44, D50. 1. INTRODUCTION A double auction(DA) mechanism is a market-clearing system by which dispersed private information feeds into the system sequentially through bilateral trading. With little concentrated information about total demand and supply of an asset or good available to all participants in the marketplace, it Both authors declare there are no conflicts of interest. This paper supersedes the paper “Bubbles, Crashes and Efficiency with Double Auction Mechanisms”(Ma& Li, 2011), which has been distributed and presented in various conferences. We thank Mark Satterthwaite for introducing us to the topic. Any errors are our own. Copyright c Jinpeng Ma, Qiongling Li /(), 2016, 1–44. Licensed under the Creative Commons Attribution-NonCommercial License.0, http://creativecommons.org.