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Continuous double auctions with execution uncertainty

Record type: Conference or Workshop Item (Paper)

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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Citation

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.

More information

Submitted date: 4 May 2009
Published date: 13 July 2009
Venue - Dates: Workshop on Trading Agent Design and Analysis (TADA-09), 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
ORCID for Sarvapali D. Ramchurn: ORCID iD orcid.org/0000-0001-9686-4302

Catalogue record

Date deposited: 05 May 2009 12:08
Last modified: 18 Jul 2017 07:05

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Contributors

Author: Gert van Valkenhoef
Author: Sarvapali D. Ramchurn ORCID iD
Author: Perukrishnen Vytelingum
Author: Nicholas R. Jennings
Author: Rinek Verbrugge

University divisions


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