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An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play

An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play
An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play
In this paper, we analyse how traders select marketplaces and bid in a setting with multiple competing marketplaces. Specifically, we use a fictitious play algorithm to analyse the traders' equilibrium strategies for market selection and bidding when their types are continuous. To achieve this, we first analyse traders' equilibrium bidding strategies in a single marketplace and find that they shade their offers in equilibrium and the degree to which they do this depends on the amount and types of fees that are charged by the marketplace. Building on this, we then analyse equilibrium strategies for traders in competing marketplaces in two particular cases. In the first, we assume that traders can only select one marketplace at a time. For this, we show that, in equilibrium, all traders who choose one of the marketplaces eventually converge to the same one. In the second case, we allow buyers to participate in multiple marketplaces at a time, while sellers can only select one marketplace. For this, we show that sellers eventually distribute in different marketplaces in equilibrium and that buyers shade less and sellers shade more in the equilibrium bidding strategy (since sellers have more market power than buyers).
575-580
Shi, Bing
293fdf16-4597-4ae9-94fd-4415b9b1dc8f
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
Vytelingum, Perukrishnen
51f06fc5-024c-450d-bff2-e19c943aa87e
Jennings, Nick
ab3d94cc-247c-4545-9d1e-65873d6cdb30
Shi, Bing
293fdf16-4597-4ae9-94fd-4415b9b1dc8f
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
Vytelingum, Perukrishnen
51f06fc5-024c-450d-bff2-e19c943aa87e
Jennings, Nick
ab3d94cc-247c-4545-9d1e-65873d6cdb30

Shi, Bing, Gerding, Enrico, Vytelingum, Perukrishnen and Jennings, Nick (2010) An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play. 19th European Conference on Artificial Intelligence (ECAI), Lisbon, Portugal. pp. 575-580 .

Record type: Conference or Workshop Item (Other)

Abstract

In this paper, we analyse how traders select marketplaces and bid in a setting with multiple competing marketplaces. Specifically, we use a fictitious play algorithm to analyse the traders' equilibrium strategies for market selection and bidding when their types are continuous. To achieve this, we first analyse traders' equilibrium bidding strategies in a single marketplace and find that they shade their offers in equilibrium and the degree to which they do this depends on the amount and types of fees that are charged by the marketplace. Building on this, we then analyse equilibrium strategies for traders in competing marketplaces in two particular cases. In the first, we assume that traders can only select one marketplace at a time. For this, we show that, in equilibrium, all traders who choose one of the marketplaces eventually converge to the same one. In the second case, we allow buyers to participate in multiple marketplaces at a time, while sellers can only select one marketplace. For this, we show that sellers eventually distribute in different marketplaces in equilibrium and that buyers shade less and sellers shade more in the equilibrium bidding strategy (since sellers have more market power than buyers).

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Published date: August 2010
Venue - Dates: 19th European Conference on Artificial Intelligence (ECAI), Lisbon, Portugal, 2010-08-01
Organisations: Agents, Interactions & Complexity

Identifiers

Local EPrints ID: 270991
URI: http://eprints.soton.ac.uk/id/eprint/270991
PURE UUID: 72b347a6-c2e1-4216-b682-498bb20cc31e
ORCID for Enrico Gerding: ORCID iD orcid.org/0000-0001-7200-552X

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Date deposited: 05 May 2010 13:50
Last modified: 15 Mar 2024 03:23

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Contributors

Author: Bing Shi
Author: Enrico Gerding ORCID iD
Author: Perukrishnen Vytelingum
Author: Nick Jennings

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