Continuous double auctions with execution uncertainty

van Valkenhoef, Gert, Ramchurn, Sarvapali D., Vytelingum, Perukrishnen, Jennings, Nicholas R. and Verbrugge, Rinek (2009) Continuous double auctions with execution uncertainty. In, Workshop on Trading Agent Design and Analysis (TADA-09), Pasadena, US, 13 Jul 2009. 9pp.


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We propose a novel variant of the Continuous Double Auction (CDA), the Trust-based CDA (T-CDA), which we demonstrate to be robust to execution uncertainty. This is desirable in a setting where traders may fail to deliver the goods, services or payments they have promised. Specifically, the TCDA provides a mechanism that allows agents to commit to trades they believe will maximize their expected utility. In this paper, we consider agents that use their trust in other agents to estimate the expected utility of a transaction. We empirically evaluate the mechanism, both against the optimal solution given perfect and complete information and against the standard CDA.We show that the T-CDA consistently outperforms the traditional CDA as execution uncertainty increases in the system. Furthermore, we investigate the robustness of the mechanism to unreliable trust information and find that performance degrades gracefully as information quality decreases.

Item Type: Conference or Workshop Item (Paper)
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions : Faculty of Physical Sciences and Engineering > Electronics and Computer Science > Agents, Interactions & Complexity
ePrint ID: 267329
Accepted Date and Publication Date:
13 July 2009Published
4 May 2009Submitted
Date Deposited: 05 May 2009 12:08
Last Modified: 31 Mar 2016 14:14
Further Information:Google Scholar

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