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An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play

Record type: Conference or Workshop Item (Other)

In this paper, we analyse how traders select marketplaces and bid in a setting with multiple competing marketplaces. Specifically, we use a fictitious play algorithm to analyse the traders' equilibrium strategies for market selection and bidding when their types are continuous. To achieve this, we first analyse traders' equilibrium bidding strategies in a single marketplace and find that they shade their offers in equilibrium and the degree to which they do this depends on the amount and types of fees that are charged by the marketplace. Building on this, we then analyse equilibrium strategies for traders in competing marketplaces in two particular cases. In the first, we assume that traders can only select one marketplace at a time. For this, we show that, in equilibrium, all traders who choose one of the marketplaces eventually converge to the same one. In the second case, we allow buyers to participate in multiple marketplaces at a time, while sellers can only select one marketplace. For this, we show that sellers eventually distribute in different marketplaces in equilibrium and that buyers shade less and sellers shade more in the equilibrium bidding strategy (since sellers have more market power than buyers).

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Citation

Shi, Bing, Gerding, Enrico, Vytelingum, Perukrishnen and Jennings, Nick (2010) An Equilibrium Analysis of Competing Double Auction Marketplaces using Fictitious Play At 19th European Conference on Artificial Intelligence (ECAI), Portugal. , pp. 575-580.

More information

Published date: August 2010
Venue - Dates: 19th European Conference on Artificial Intelligence (ECAI), Portugal, 2010-08-01
Organisations: Agents, Interactions & Complexity

Identifiers

Local EPrints ID: 270991
URI: http://eprints.soton.ac.uk/id/eprint/270991
PURE UUID: 72b347a6-c2e1-4216-b682-498bb20cc31e

Catalogue record

Date deposited: 05 May 2010 13:50
Last modified: 18 Jul 2017 06:48

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Contributors

Author: Bing Shi
Author: Enrico Gerding
Author: Perukrishnen Vytelingum
Author: Nick Jennings

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