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Strategic Behaviour in Continuous Double Auction

In: Advances in Artificial Economics

Author

Listed:
  • Marta Posada

    (University of Valladolid)

  • Cesáreo Hernández

    (University of Valladolid)

  • Adolfo López-Paredes

    (University of Valladolid)

Abstract

We analyze with a bottom-up approach the competition between artificial intelligent agents in Continuous Double Auction markets in terms of allocative efficiency, price convergence and emergence or not of Nash equilibriums. In previous works agents have a fixed bidding strategy during the auction, usually under symmetric environments. In our simulations we allow the soft-agents to learn not only about how much they should bid or offer, but also about possible switching between the alternative strategies. We examine the behaviour of strategic traders under general supply and demand schedules (asymmetric environments) thus extending previous results. The results clarify the limitations and the scope of Gode and Sunder conjecture and related recent works, and show the emergence of Hayeks and A. Smith endogenous order. Institutions matter and so does intelligence as far as the rate of convergence and agents surplus is concerned. These results are of importance in the design and performance of auctions in the real world and in the applications of auction theory to many problems in management and production, far beyond market design (market oriented programming).

Suggested Citation

  • Marta Posada & Cesáreo Hernández & Adolfo López-Paredes, 2006. "Strategic Behaviour in Continuous Double Auction," Lecture Notes in Economics and Mathematical Systems, in: Charlotte Bruun (ed.), Advances in Artificial Economics, chapter 3, pages 31-43, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-37249-3_3
    DOI: 10.1007/3-540-37249-0_3
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    Cited by:

    1. İlker Yıldırım & Pınar Yolum, 2009. "Hybrid models for achieving and maintaining cooperative symbiotic groups," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 8(2), pages 243-258, December.

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