The University of Southampton
University of Southampton Institutional Repository

Designing bidding strategies in sequential auctions for risk averse agents

Robu, Valentin and La Poutre, Han (2010) Designing bidding strategies in sequential auctions for risk averse agents Multi-Agent and Grid Systems, 6, (5), pp. 437-457.

Record type: Article


Designing efficient bidding strategies for sequential auctions represents an important, open problem area in agent-mediated electronic markets. In existing literature, a variety of bidding strategies have been proposed and have been shown to perform with varying degrees of efficiency. However, most of strategies proposed so far do not explicitly model bidders attitudes towards risk which, in mainstream economic literature, is considered an essential attribute in modeling agent preferences and decision making under uncertainty. This paper studies the effect that risk profiles (modeled through the standard Arrow-Pratt risk aversion measure), have on the bidders strategies in sequential auctions. First, the sequential decision process involved in bidding is modeled as a Markov Decision Process. Then, the effect that a bidders risk aversion has on her decision theoretic optimal bidding policy is analyzed, for a category of expectations of future price distributions. This analysis is performed separately for the case of first price and second-price sequential auctions. Next, the bidding strategies developed above are simulated, in order to study the effect that an agents risk aversion has on the chances of winning a set of complementary-valued items. The paper concludes with an experimental study of how the presence of risk-averse bidders affects both bidder profits and auctioneer revenue, for different market scenarios of increasing complexity.

PDF MAGS-RiskAverseAgents.pdf - Other
Download (974kB)

More information

Published date: 27 December 2010
Organisations: Agents, Interactions & Complexity


Local EPrints ID: 268193
PURE UUID: 652cd14a-2880-4984-9a4c-3a76718509f6

Catalogue record

Date deposited: 11 Nov 2009 17:43
Last modified: 18 Jul 2017 06:56

Export record


Author: Valentin Robu
Author: Han La Poutre

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.