Abstract
Typical Double Auction (DA) models assume that trading agents are one-way traders. With this limitation, they cannot directly reflect the fact individual traders in financial markets (the most popular application of double auction) choose their trading directions dynamically. To address this issue, we introduce the Bi-directional Double Auction (BDA) market which is populated by two-way traders. Based on experiments under both static and dynamic settings, we find that the allocative efficiency of a static continuous BDA market comes from rational selection of trading directions and is negatively related to the intelligence of trading strategies. Moreover, we introduce Kernel trading strategy designed based on probability density estimation for general DA market. Our experiments show it outperforms some intelligent DA market trading strategies.
| Original language | English |
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| Title of host publication | 12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013 |
| Publisher | ACM |
| Pages | 1313-1314 |
| Number of pages | 2 |
| Volume | 2 |
| ISBN (Print) | 978-1-4503-1993-5 |
| Publication status | Published - 6 May 2013 |
| Event | 12th international conference on Autonomous Agents and Mult-Agent Systems 2013 - Saint Paul, MN, United States Duration: 6 May 2013 → 10 May 2013 |
Conference
| Conference | 12th international conference on Autonomous Agents and Mult-Agent Systems 2013 |
|---|---|
| Abbreviated title | AAMAS 2013 |
| Country/Territory | United States |
| City | Saint Paul, MN |
| Period | 6/05/13 → 10/05/13 |
Keywords
- artificial market
- double auction
- Kernel
- multi-agent