Title: MUDA: A Truthful Multi-Unit Double-Auction Mechanism,
Abstract: In a seminal paper, McAfee (1992) presented a truthful mechanism for double
auctions, attaining asymptotically-optimal gain-from-trade without any prior
information on the valuations of the traders. McAfee's mechanism handles
single-parametric agents, allowing each seller to sell a single unit and each
buyer to buy a single unit. This paper presents a double-auction mechanism that
handles multi-parametric agents and allows multiple units per trader, as long
as the valuation functions of all traders have decreasing marginal returns. The
mechanism is prior-free, ex-post individually-rational, dominant-strategy
truthful and strongly-budget-balanced. Its gain-from-trade approaches the
optimum when the market size is sufficiently large.