The University of Southampton
University of Southampton Institutional Repository

An equilibrium analysis of trading across multiple double auction marketplaces using fictitious play

An equilibrium analysis of trading across multiple double auction marketplaces using fictitious play
An equilibrium analysis of trading across multiple double auction marketplaces using fictitious play
We investigate how automated traders strategically select marketplaces and submit offers across multiple double auction marketplaces. We model the problem as a Bayesian game with traders that have continuous private values, and use fictitious play to analyse the traders’ Nash equilibrium market selection and bidding strategies. We do this for different trading environments (isolated, single-home, multi-home and hybrid) and different types of goods (independent, substitutable and complementary). We find that, in an isolated marketplace, the fictitious play algorithm converges to a Bayes-Nash equilibrium. In the single-home setting, all traders eventually converge to the same marketplace and the setting reduces to that of an isolated marketplace. In the multi-home setting with perfectly substitutable goods, buyers with high values only bid in one marketplace, whereas buyers with low values bid in multiple marketplaces. Then, for perfectly complementary goods, only buyers with high values bid in multiple marketplaces and buyers with low values enter no marketplaces. Finally, in the hybrid setting with perfectly complementary goods, traders choose no marketplaces.
trading strategies, double auctions, bayes-nash equilibrium, fictitious play
1567-4223
134-149
Shi, Bing
293fdf16-4597-4ae9-94fd-4415b9b1dc8f
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
Jennings, Nicholas
ab3d94cc-247c-4545-9d1e-65873d6cdb30
Shi, Bing
293fdf16-4597-4ae9-94fd-4415b9b1dc8f
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
Jennings, Nicholas
ab3d94cc-247c-4545-9d1e-65873d6cdb30

Shi, Bing, Gerding, Enrico and Jennings, Nicholas (2016) An equilibrium analysis of trading across multiple double auction marketplaces using fictitious play. Electronic Commerce Research and Applications, 17, 134-149. (doi:10.1016/j.elerap.2016.04.002).

Record type: Article

Abstract

We investigate how automated traders strategically select marketplaces and submit offers across multiple double auction marketplaces. We model the problem as a Bayesian game with traders that have continuous private values, and use fictitious play to analyse the traders’ Nash equilibrium market selection and bidding strategies. We do this for different trading environments (isolated, single-home, multi-home and hybrid) and different types of goods (independent, substitutable and complementary). We find that, in an isolated marketplace, the fictitious play algorithm converges to a Bayes-Nash equilibrium. In the single-home setting, all traders eventually converge to the same marketplace and the setting reduces to that of an isolated marketplace. In the multi-home setting with perfectly substitutable goods, buyers with high values only bid in one marketplace, whereas buyers with low values bid in multiple marketplaces. Then, for perfectly complementary goods, only buyers with high values bid in multiple marketplaces and buyers with low values enter no marketplaces. Finally, in the hybrid setting with perfectly complementary goods, traders choose no marketplaces.

Text
ECRA FP.pdf - Accepted Manuscript
Download (383kB)

More information

Accepted/In Press date: 3 April 2016
e-pub ahead of print date: 4 April 2016
Published date: May 2016
Keywords: trading strategies, double auctions, bayes-nash equilibrium, fictitious play
Organisations: Agents, Interactions & Complexity

Identifiers

Local EPrints ID: 390800
URI: http://eprints.soton.ac.uk/id/eprint/390800
ISSN: 1567-4223
PURE UUID: 7788b6a1-3065-4f9f-a58d-f7d6aeb285e4
ORCID for Enrico Gerding: ORCID iD orcid.org/0000-0001-7200-552X

Catalogue record

Date deposited: 07 Apr 2016 11:26
Last modified: 20 Jul 2019 06:00

Export record

Altmetrics

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.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

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.

×