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 At Workshop on Trading Agent Design and Analysis (TADA-09), United States. 13 Jul 2009. 9 pp.


[img] PDF paper.pdf - Accepted Manuscript
Download (227kB)


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)
Venue - Dates: Workshop on Trading Agent Design and Analysis (TADA-09), United States, 2009-07-13 - 2009-07-13
Organisations: Agents, Interactions & Complexity
ePrint ID: 267329
Date :
Date Event
4 May 2009Submitted
13 July 2009Published
Date Deposited: 05 May 2009 12:08
Last Modified: 17 Apr 2017 18:49
Further Information:Google Scholar

Actions (login required)

View Item View Item