Continuous double auctions with execution uncertainty
Continuous double auctions with execution uncertainty
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.
van Valkenhoef, Gert
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Ramchurn, Sarvapali D.
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Vytelingum, Perukrishnen
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Jennings, Nicholas R.
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Verbrugge, Rinek
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13 July 2009
van Valkenhoef, Gert
e8c6e680-dd31-482d-befb-6c03237197d8
Ramchurn, Sarvapali D.
1d62ae2a-a498-444e-912d-a6082d3aaea3
Vytelingum, Perukrishnen
51f06fc5-024c-450d-bff2-e19c943aa87e
Jennings, Nicholas R.
ab3d94cc-247c-4545-9d1e-65873d6cdb30
Verbrugge, Rinek
33e090fd-713a-4f07-bb06-642dfc2b4d7a
van Valkenhoef, Gert, Ramchurn, Sarvapali D., Vytelingum, Perukrishnen, Jennings, Nicholas R. and Verbrugge, Rinek
(2009)
Continuous double auctions with execution uncertainty.
Workshop on Trading Agent Design and Analysis (TADA-09), Pasadena, United States.
13 Jul 2009.
9 pp
.
Record type:
Conference or Workshop Item
(Paper)
Abstract
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.
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Submitted date: 4 May 2009
Published date: 13 July 2009
Venue - Dates:
Workshop on Trading Agent Design and Analysis (TADA-09), Pasadena, United States, 2009-07-13 - 2009-07-13
Organisations:
Agents, Interactions & Complexity
Identifiers
Local EPrints ID: 267329
URI: http://eprints.soton.ac.uk/id/eprint/267329
PURE UUID: 8215b7f7-038f-4950-8e8d-3a5f4613cb50
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Date deposited: 05 May 2009 12:08
Last modified: 15 Mar 2024 03:22
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Contributors
Author:
Gert van Valkenhoef
Author:
Sarvapali D. Ramchurn
Author:
Perukrishnen Vytelingum
Author:
Nicholas R. Jennings
Author:
Rinek Verbrugge
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