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Evolutionary stability of behavioural types in the continuous double auction

Evolutionary stability of behavioural types in the continuous double auction
Evolutionary stability of behavioural types in the continuous double auction
In this paper, we investigate the effectiveness of different types of bidding behaviour for trading agents in the Continuous Double Auction (CDA). Specifically, we consider behavioural types that are neutral (expected profit maximising), passive (targeting a higher profit than neutral) and aggressive (trading off profit for a better chance of transacting). For these types, we employ an evolutionary game-theoretic analysis to determine the population dynamics of agents that use them in different types of environments, including dynamic ones with market shocks. From this analysis, we find that given a symmetric demand and supply, agents are most likely to adopt neutral behaviour in static environments, while there tends to be more passive than neutral agents in dynamic ones. Furthermore, when we have asymmetric demand and supply, agents invariably adopt passive behaviour in both static and dynamic environments, though the gain in so doing is considerably smaller than in the symmetric case.
153-166
Vytelingum, P.
418675f3-cbda-47bc-8336-474fe328ac99
Cliff, D.
1ad86773-24b9-41c7-8c85-5abc25885480
Jennings, N. R.
ab3d94cc-247c-4545-9d1e-65873d6cdb30
Vytelingum, P.
418675f3-cbda-47bc-8336-474fe328ac99
Cliff, D.
1ad86773-24b9-41c7-8c85-5abc25885480
Jennings, N. R.
ab3d94cc-247c-4545-9d1e-65873d6cdb30

Vytelingum, P., Cliff, D. and Jennings, N. R. (2006) Evolutionary stability of behavioural types in the continuous double auction. 8th Int. Workshop on Agent-Mediated Electronic Commerce, Japan. pp. 153-166 .

Record type: Conference or Workshop Item (Paper)

Abstract

In this paper, we investigate the effectiveness of different types of bidding behaviour for trading agents in the Continuous Double Auction (CDA). Specifically, we consider behavioural types that are neutral (expected profit maximising), passive (targeting a higher profit than neutral) and aggressive (trading off profit for a better chance of transacting). For these types, we employ an evolutionary game-theoretic analysis to determine the population dynamics of agents that use them in different types of environments, including dynamic ones with market shocks. From this analysis, we find that given a symmetric demand and supply, agents are most likely to adopt neutral behaviour in static environments, while there tends to be more passive than neutral agents in dynamic ones. Furthermore, when we have asymmetric demand and supply, agents invariably adopt passive behaviour in both static and dynamic environments, though the gain in so doing is considerably smaller than in the symmetric case.

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Published date: 2006
Venue - Dates: 8th Int. Workshop on Agent-Mediated Electronic Commerce, Japan, 2006-01-01
Organisations: Agents, Interactions & Complexity

Identifiers

Local EPrints ID: 262597
URI: http://eprints.soton.ac.uk/id/eprint/262597
PURE UUID: c39b8795-448f-4005-adc3-a9cf2b9a3e62

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Date deposited: 16 May 2006
Last modified: 19 Jul 2019 22:31

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Contributors

Author: P. Vytelingum
Author: D. Cliff
Author: N. R. Jennings

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