A Risk-Based Bidding Strategy for Continuous Double Auctions

 
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Type: Conference or Workshop Item (Paper)
Member Organisation: 002 University of Southampton

Vytelingum, P. and Dash, R.K. and David, E. and Jennings, N. R. (2004) A Risk-Based Bidding Strategy for Continuous Double Auctions. In: ECAI 2004, 22-27 August 2004, Valencia, Spain.

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Abstract

We develop a novel bidding strategy that software agents can use to buy and sell goods in Continuous Double Auctions (CDAs). Our strategy involves the agent forming a bid or ask by assessing the degree of risk involved and making a prediction about the competitive equilibrium that is likely to be reached in the marketplace. We benchmark our strategy against two of the most common strategies for CDAs, namely the Zero-Intelligence and the Zero-Intelligence Plus strategies, and we show that our agents outperform these benchmarks. Specifically, our agents win in 100% of the simulations against the ZI agents and, on average, 75% of the games against the ZIP agents.

Deposited by Mr Perukrishnen Vytelingum on 16 February 2005

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