Discrete Double Auctions with Artificial Adaptive Agents: A Case Study of an Electricity Market Using a Double Auction Simulator
AbstractA key issue raised by previous researchers is the extent to which learning versus market structure is responsible for the high efficiency regularly observed for the double auction in human-subject experiments. In this study, a computational discrete double auction with discriminatory pricing is tested regarding the importance of learning agents for ensuring market efficiency. Agents use a Roth-Erev reinforcement learning algorithm to determine their bid and ask prices. The experimental design focuses on two treatment factors: market capacity; and a key Roth?Erev learning parameter that controls that degree of agent experimentation. For each capacity setting, it is shown that changes in the learning parameter have a substantial systematic effect on market efficiency.
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 10017.
Date of creation: 12 Sep 2002
Date of revision:
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-28 (All new papers)
- NEP-ENE-2002-09-28 (Energy Economics)
- NEP-EVO-2002-09-28 (Evolutionary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February.
- Bower, John & Bunn, Derek, 2001. "Experimental analysis of the efficiency of uniform-price versus discriminatory auctions in the England and Wales electricity market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 561-592, March.
- Weidlich, Anke & Veit, Daniel, 2008. "A critical survey of agent-based wholesale electricity market models," Energy Economics, Elsevier, vol. 30(4), pages 1728-1759, July.
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