ECAI 2004 Conference Paper

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A Risk-Based Bidding Strategy for Continuous Double Auctions

Perukrishnen Vytelingum, Nicholas R. Jennings

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 price 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 (ZI) and the Zero-Intelligence Plus (ZIP) strategies, and we show that our agents outperform the benchmarks. Specifically, they win in 100% of the simulations against the ZI agents and, on average, in 75% of the games against the ZIP agents.

Keywords: Multi-Agent Systems, Continuous Double Auctions

Citation: Perukrishnen Vytelingum, Nicholas R. Jennings: A Risk-Based Bidding Strategy for Continuous Double Auctions. In R.López de Mántaras and L.Saitta (eds.): ECAI2004, Proceedings of the 16th European Conference on Artificial Intelligence, IOS Press, Amsterdam, 2004, pp.79-83.

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ECAI-2004 is organised by the European Coordinating Committee for Artificial Intelligence (ECCAI) and hosted by the Universitat Politècnica de València on behalf of Asociación Española de Inteligencia Artificial (AEPIA) and Associació Catalana d'Intel-ligència Artificial (ACIA).